#twitter-follow { border: 0;position: fixed; top: 240px; left:0;} #live-support { border: 0;position: fixed; top: 370px; left:0;} #knowledge-base { border: 0;position: fixed; top: 170px; left:0;}

Estimation of the Hurst Exponent - Trading Indicator

by Brian Brown, 5033 days ago

Based on the Chaos Theory, the Fractal Market Hypothesis is an alternative to the Efficient Market Hypothesis. It assumes that each trader may interpret trading information in different ways and at different times (The Efficient Market Hypothesis assumes that all information is reflected in prices), that investors are not rational and influenced, in their trading decisions, by what has happened in the past and also by their recent experiences. It also assumes that price changes are not normally distributed (The best example is that usually prices fall much faster than they rise).

The Hurst exponent, also called "H" or "the index of dependence", is part of the Chaos Theory. It is a measure of the predictability of a time series. A value of H=0.5 means that the market or security follows a true random walk (The stock or market is unpredictable), while a value between 0 and 0.5 indicates that there is a negative autocorrelation (A decrease in the stock or market is likely to be followed by an increase), and a value between 0.5 and 1 indicates that there is a positive autocorrelation (An increase in the stock or market is likely to be followed by an another increase). The more the Hurst exponent is far from the 0.5 level, the more likely the underlying time-series is predictable.

This trading indicator (Hurst) returns an estimation of the Hurst exponent. It uses a range-estimation method in 63 different-sized regions. In order for the Hurst exponent to be calculated, your security or stock must have more than one year worth of daily quotes.

What is this?

 Type: Trading Indicator Object ID: 827 Country: All Market: All Style: Technical Analysis

 Related objects Empty
Number of reviews
Average rate
Click to rate this item
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

 Random Blog Posts How to create a ratio indicator using QS Trading Software Screening with the composite indicators Synchronize Buy/Sell List of Rules in the Trading System Optimizer QS Trading Software: Global Script New Ranking and Percentile Composite Functions QS Trading Software: Database Optimization Stock Market Prediction with QuantShare Stock Market Prediction Show All

Number of reviews
Average rate
Click to rate this item
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object