Stocks & Commodities V. 25:2 (44-48): Sidebar: Rescaled range analysis by Radha Panini
Product Description
Stocks & Commodities V. 25:2 (44-48): Sidebar: Rescaled range analysis by Radha Panini
RESCALED RANGE ANALYSIS
The rescaled range analysis technique to determine the Hurst exponent for a series {r(1), r(2),......,r(n)} is based on the equation:
R(n),
S(n) = k(nH) for some constant k.
where n is the number of observations and H is the Hurst exponent.
In the above equation, R(n) is the range for the cumulative mean deviation series and S(n) is the standard deviation of the series. In mathematical terms...
RESCALED RANGE ANALYSIS
The rescaled range analysis technique to determine the Hurst exponent for a series {r(1), r(2),......,r(n)} is based on the equation:
R(n),
S(n) = k(nH) for some constant k.
where n is the number of observations and H is the Hurst exponent.
In the above equation, R(n) is the range for the cumulative mean deviation series and S(n) is the standard deviation of the series. In mathematical terms...
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