Detecting trends and mean reversion with the Hurst exponent

The Hurst exponent is a statistical measure of long-term memory of time series. The existence and form of such memory are of great interest in financial markets, as financial returns are not generally governed by random walks. The Hurst exponent is a single scalar value that indicates if a time series is purely random, trending, … Continue reading Detecting trends and mean reversion with the Hurst exponent