Can anyone point me to a functioning script calculating the "rescaled range" R/S of a potenitally fractal time series?
Thanks in advance!
I discuss the determination of the Hurst exponent in the second half of the attached paper.
Thanks dear Steve! I can't seem to find the attachment. Could you upload it again, please?
http://www.actuaries.org/AFIR/Colloquia/Orlando/Craighead.pdf
I found another more directed reference than my old paper:
http://blogs.cfainstitute.org/investor/2013/01/30/rescaled-range-analysis-a-method-for-detecting-persistence-randomness-or-mean-reversion-in-financial-markets/
There appears to be several different examples if you Google "Rescaled Range Analysis"
Good Luck!
Dear Steven!
Oh, yes, indeed an older paper ;-) Thank you! I already came across the scond link you postet.
The true reason why I wrote was the following:
I am already using 2 different scripts in maltab:
http://www.mathworks.com/matlabcentral/fileexchange/25414-rescaled-range-analysis
and
http://www.mathworks.com/matlabcentral/fileexchange/4325-rescaled-range-analysis
However, I am kind of not trusting both because e.g. when I create a browian noise with a H=0.5 a test input (matlab: bn=wfbm(0.5,1000)) , I get an H value of 1 as the output!
Also when integrating white noise, I instantly get H=1.
is this normal for R/S analyses??
Thanks fo much!
Just to follow up for the records:
The following code is a collection of different Hurst exponent estimation methods and works nicely!
http://www.mathworks.com/matlabcentral/fileexchange/19148-hurst-parameter-estimate
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