Library "Hurst" hurst(length, samples, hi, lo) Estimate the Hurst Exponent using Dubuc's variation method Parameters: length : The length of the history window to use. Large values do not cause lag. samples : The number of scale samples to take within the window. These samples are then used for regression. The minimum value is 2 but 3+ is...
Library "HurstExponent" Library to calculate Hurst Exponent refactored from Hurst Exponent - Detrended Fluctuation Analysis demean(src) Calculates a series subtracted from the series mean. Parameters: src : The series used to calculate the difference from the mean (e.g. log returns). Returns: The series subtracted from the series mean ...