Jm hurst cycle trading using the hurst tools to forecast. Wavelet lifting estimators of the hurst exponent for. A vector of the same length as x containing the transformed values. H hurstx calculates the hurst exponent of time series x using the rs. Application of hurst exponent h and the rs analysis in the. There is a complete description of the methodologies in estimators of fractal dimension.
This is a readonly mirror of the cran r package repository. The best way to test algorithms to estimate the hurst exponent is to use a data set that has a known hurst exponent value. These approaches are a corrected rs method, an empirical and corrected empirical method, and a try at a theoretical hurst exponent. Hi, you may check the r package dvfbm, which uses the discrete variation method. Hurst 1951 longterm storage capacity of reservoirs, transactions of the american society of civil engineers 116, 770808. If you need to i can hook you up the the best software that implements it. Jm hurst cycle trading using the hurst tools to forecast price and time part 1. Only a simple visual analysis of the v statistics logarithm graph is sufficient. At first i directly use the stock price instead of stock return and the hurst component calculated is 0.
R though is the high likelihood of another package that will calculate hurst. I am attempting to use r s analysis to estimate the hurst exponent on a single stock. Browse other questions tagged timeseries references stationarity longrangedependence hurstexponent or ask your own question. Calculate classical hurst exponents rs and corrected hurst exponents rs al.
Matlab function to compute the hurst exponent using rs. Using the hurst tools to forecast price and time part 2. On the estimation of the hurst exponent using adjusted. Hurst exponent, h, can be calculated from fractal dimension, d, as d 2 h. The hurst exponent is used as a measure of longterm memory of time series. Calculate classical hurst exponents rs and corrected hurst exponents rsal. Show a loglog plot of rs statistics vs subseries length. Such a data set is frequently referred to as fractional brownian motion or fractal gaussian noise. Testing software to estimate the hurst exponent can be difficult. R exp function, r exponential, raised to power calculation methods. Another reference suggests that hurst exponent calculated from returns shows the nervouness in the market when h hurst x calculates the hurst exponent of time series x using r s analysis after hurst. This technique will give you more then just a hurst exponent. The fractal analysis is a certain synergy of technical, fundamental and statistical approach to forecasting the market dynamics.
Title a fractal time series modeling and analysis package. There is a complete description of the methodologies in. Title wavelet lifting estimators of the hurst exponent for regularly. Assessing the roughness of time series and spatial data. Index termshurst exponent, rs analysis, fractal analysis, financial time series. Originlab corporation data analysis and graphing software 2d graphs, 3d. Rs analysis and hurst exponent are successfully used in geography, biology, physics and economics. Fractal dimension defines how an object or a process fills the space and how its. As i learned, generating fractional brownian motion data. It relates to the autocorrelations of the time series, and the rate at which these decrease as the lag between pairs of values increases. Which is the most robust estimator for the hurst parameter. I use the fractaldim package, available cran, to calculate fractal dimension.