Look at the attached paper, it may help

Hello Sir,

Thank you for your answer but a code would be helpful .. Code in any language will be helpful.

Hello Sourik,

you can go through with following matlab file

https://in.mathworks.com/matlabcentral/fileexchange/19148-hurst-parameter-estimate

Hello Sandeep,

While the above link has hurst parameter estimate properly,I was looking for an implementation of it using Artificial Neural Nets.

Thanks :)