Friday, April 9, 2010


Benoit Mandelbrot discussed Harold Edwin Hurst in his book The(Mis)behavior of Markets. Hurst had analyzed flooding patterns of the Nile in Egypt. Hurst's work was eventually modified by Mandelbrot and led to the creation of the H statistic. The H statistic is used to test if long term-dependence is present in a series of data. In general, if the H value is greater than .50, then prices are showing persistence, or what traders call "trending behavior." If the H value is less than .5, then prices are anti-persistent, or "non-trending behavior." I will use this page to publish calculations of H. I will try to post on Fridays. Let's see if there is any value to it...

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