Web Pages

•••Exploring the Market with Hurst
•••Estimating the Hurst Exponent ••• C++ software for Hurst (see e.g. /hurst/src/rescaled_range.cpp)
•••Investopedia, R/S••• ====>See also Qian-Rasheed (2003) above
•••The Hurst Exponent: Predictability of Time Series (2012)
•••Jan Beran: Statistics for Long-Memory Processes (1994)-- Google Books.

===>SSS=Simple Scaling Stochastic process

Slides

Koutsoyiannis 2006. Lecture at Georgia Tech. and Duke Univ.

Plots, Figures
Nile Minimum Level 622-1469	(pdf) (png)
Nile Diff.	(pdf) (png)		First difference
Nile ACF	(pdf) (png)	Ho=0.833; Hd=0.5	Power Ho=0.811
Nile Power	(pdf) (png)	Hpow=0.811
Nile Diff.	(pdf) (png)
Nile SSS, Compare	(pdf) (png)	Hsss=0.872	Plot log(n)-log(StD)
Brown72	(pdf) (png)
Brown72 Deriv	(pdf) (png)
Brown72 ACF	(pdf) (png)	Ho=0.699; Hd=0.558	Power H0=0.66; Real Ho=0.72
Brown72 Power	(pdf) (png)	Hpow=0.66; Real=0.72
Brown72 SSS	(pdf) (png)	Hsss=0.96	Real Ho=0.72
Data
Nile dataset	(txt)	nile1.txt
Nile MEM	(out)
Nile ACF	(out)	Ho=0.833; Hd=0.5	Power Ho=0.811
Nile Power	(out)	Linear fit of log	Power Ho=0.811
Nile ACF Diff	(out)
Nile SSS	(txt)
Nile SSS STAT	(out)	STAT.OUT for SSS Nile
Nile SSS Poly	(out)	POLY.OUT for SSS Nile
Brown72 data	(txt)
Brown72 ACF	(out)
Brown72 Power	(out)	Linear fit of log	Power Hpow=0.66
Brown72 MEM	(out)
Brown72 Deriv	(txt)
Brown72 Der ACF	(out)	Ho=0.699; Hd=0.558	Power H0=0.66; Real Ho=0.72
Brown72 Der MEM	(out)
Brown72 SSS	(txt)
Brown72 SSS Stat	(out)

Code
nile1.bon, hnile.bon, acf-nile.bon, nile-pow.bon, hurst-prova.bon, nile-pow.bon,
ssh.bon, sss.bon,
brown72.bon, brown72h.bon, brown72-acf.bon, brown72-pow.bon, sshb.bon, sssb.bon,
brownold.f, rsmbrown.f, rsm.f, sss.f,
rsmb.f, sssb.f, .f, f,