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Below is code (and comment) for the Hurst exponent posted by Bob Fulks
last year.
Hurst was actually a pretty interesting character. He spent 62 years in
Egypt studying the Nile river. These studies formed the basis for his
discovery of long run dependence for some physical processes and his
development of, what is now known, as the Hurst exponent. A search on
the web will yield more info.
Bill
~~~~~~~~~~~~~~~~~~~~~~~~~~~~!
Here is a version. Please let me know if you find that it is good for
anything. So far I haven't found a use for it. <g>
Bob Fulks
{
***********************************************************************
Function : Hurst
Last Edit : 3/3/01
Provided By : Bob Fulks
Description : Calculates the Hurst Coefficient based upon the paper
by J. Orlin Grabbe at <http://www.aci.net/kalliste/chaos7.htm>
************************************************************************}
Inputs: Len(Numeric);
Vars: Mean(0), j(0), k(1.253314), SumSqr(0), Scale(0), MaxY(0),
MinY(0), Rng(0);
Arrays: X[100](0), Y[100](0);
Mean = Average(C, Len);
SumSqr = 0;
for j = 0 to Len - 1 begin
X[j] = C[j] - Mean;
SumSqr = SumSqr + X[j] * X[j];
end;
Scale = SquareRoot(SumSqr / Len);
Y[0] = X[0];
MaxY = X[0];
MinY = X[0];
for j = 1 to Len - 1 begin
Y[j] = Y[j - 1] + X[j];
if Y[j] > MaxY then MaxY = Y[j];
if Y[j] < MinY then MinY = Y[j];
end;
Rng = MaxY - MinY;
Hurst = Log(Rng/(k * Scale)) / Log(Len);
sunfiles wrote:
> I have read some work on Hurst and his formulas.
>
> Has anyone worked with Hurst's ideas to build an indicator??
>
> Do you know where I can find out more about Hurst?
>
> Thanks,
>
> Brian Oliver
> sunfiles@xxxxxxx
> Newport Coast, CA
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