Hurst

MetaStock/indicators/hurstConstant.txt

Hurst used the coefficient as an index for the persistence of the
time series considered. For , it is positively persistent and
characterized by `long memory' effects, as described in the next
section. A rather informal interpretation of used by practitioners
is this: may be interpreted as the chance of movements with the
same sign, Peters (1994). For , it is more likely that an upward
movement is followed by a movement of the same (positive) sign, and
a downward movement is more likely to be followed by another
downward movement. For , a downward movement is more likely to be
reversed by an upward movement thus implying the reverting behavior.

>This indicator is an interesting study in chaos theory.
>Just look up the title in any web search engine and start
>reading. This indicator is fails to calculate for some stocks. It
>requires at least 600 hundred quotes to work.

Hurst used the coefficient $ H$ as an index for the persistence of the time series considered. For $ 0.5<H<1$, it is positively persistent and characterized by `long memory' effects, as described in the next section. A rather informal interpretation of $ H$ used by practitioners is this: $ H$ may be interpreted as the chance of movements with the same sign, Peters (1994). For $ H>0.5$ , it is more likely that an upward movement is followed by a movement of the same (positive) sign, and a downward movement is more likely to be followed by another downward movement. For $ H<0.5$ , a downward movement is more likely to be reversed by an upward movement thus implying the reverting behavior.