R language hurst exponent software

This technique will give you more then just a hurst exponent. These approaches are a corrected rs method, an empirical and corrected empirical method, and a try at a theoretical hurst exponent. R exp function, r exponential, raised to power calculation methods. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases. This is a readonly mirror of the cran r package repository. Application of hurst exponent h and the rs analysis in the. I use the fractaldim package, available cran, to calculate fractal.

I am attempting to use r s analysis to estimate the hurst exponent on a single stock. A vector of the same length as x containing the transformed values. Calculate classical hurst exponents rs and corrected hurst exponents rsal. Rs analysis and hurst exponent are successfully used in geography, biology, physics and economics. Jm hurst cycle trading using the hurst tools to forecast. H hurstx calculates the hurst exponent of time series x using the rs.

Originlab corporation data analysis and graphing software 2d graphs, 3d. There is a complete description of the methodologies in. Jm hurst cycle trading using the hurst tools to forecast price and time part 1. Using the hurst tools to forecast price and time part 2. The hurst exponent is used as a measure of longterm memory of time series.

Which is the most robust estimator for the hurst parameter. Browse other questions tagged timeseries references stationarity longrangedependence hurstexponent or ask your own question. Assessing the roughness of time series and spatial data. The best way to test algorithms to estimate the hurst exponent is to use a data set that has a known hurst exponent value. At first i directly use the stock price instead of stock return and the hurst component calculated is 0. Hi, you may check the r package dvfbm, which uses the discrete variation method. Title wavelet lifting estimators of the hurst exponent for regularly.

As i learned, generating fractional brownian motion data. Wavelet lifting estimators of the hurst exponent for. If you need to i can hook you up the the best software that implements it. Title a fractal time series modeling and analysis package. Calculate classical hurst exponents rs and corrected hurst exponents rs al.

Show a loglog plot of rs statistics vs subseries length. On the estimation of the hurst exponent using adjusted. There is a complete description of the methodologies in estimators of fractal dimension. I use the fractaldim package, available cran, to calculate fractal dimension. Hurst 1951 longterm storage capacity of reservoirs, transactions of the american society of civil engineers 116, 770808. Only a simple visual analysis of the v statistics logarithm graph is sufficient. Optimal sample sizes are automatically computed with a length that possesses the most divisors among series shorter than x by no more than 1 percent.

The fractal analysis is a certain synergy of technical, fundamental and statistical approach to forecasting the market dynamics. Index termshurst exponent, rs analysis, fractal analysis, financial time series. R though is the high likelihood of another package that will calculate hurst. Matlab function to compute the hurst exponent using rs. Such a data set is frequently referred to as fractional brownian motion or fractal gaussian noise. Fractal dimension defines how an object or a process fills the space and how its.