Hurst Index
"Hurst index" is the analyzer of the the selected currency pair market fractal structure by using the R/S-analysis.
It's available in Meta Trader 4 Market: https://www.mql5.com/en/market/product/19604
The analyzer determines, by calculating Hurst index, whether the market tends to keep the trend (persistence), or direction in the past most likely will be replaced by the opposite direction in the future (antipersistence).
Hurst Exponent
The Hurst exponent is used as a measure of long-term memory of time series. Studies involving the Hurst exponent were originally developed in hydrology for the practical matter of determining optimum dam sizing for the Nile river's volatile rain and drought conditions that had been observed over a long period of time. Benoît Mandelbrot believes the same effect can be generalized on Financial markets.
"Hurst index" is the analyzer of the the selected currency pair market fractal structure by using the R/S-analysis.
It's available in Meta Trader 4 Market: https://www.mql5.com/en/market/product/19604
The analyzer determines, by calculating Hurst index, whether the market tends to keep the trend (persistence), or direction in the past most likely will be replaced by the opposite direction in the future (antipersistence).
Hurst Exponent
The Hurst exponent is used as a measure of long-term memory of time series. Studies involving the Hurst exponent were originally developed in hydrology for the practical matter of determining optimum dam sizing for the Nile river's volatile rain and drought conditions that had been observed over a long period of time. Benoît Mandelbrot believes the same effect can be generalized on Financial markets.
- If the Hurst index ranges from 0.5 to 1, the process must be characterized by long-term memory. In other words, there is persistence.
For example, "blue chips" (Apple, IBM, Microsoft stocks) have persistent time serieses.)
- If the Hurst index ranges from 0 to 0.5, the process must be characterized by antipersistence. For example, second-tier stocks.
