Question about the Hurst Exponent

[John Donahue]

Does anyone use it for trading purposes?

From my observations on market returns and the fractal nature of prices looking a different time frames, there seems to be some validity for its calculation to determine beneficial trading opportunities. Calculating is pretty straight forward and there are several packages that have the calculations built in. Just wondering if anyone is using it?

 

[Todd Angney]

This is a super old post but it hit upon a question I have as a beginner in quant finance transitioning from actuarial studies. When calculating the Hurst via R/S method, I use series of powers of 2 for the linear regression. When using the log of (close - open) and estimating the hurst, I have a very simple questions.

When I set my t=1 time when thinking of the 8 day series, is t=1 the present date for 8 days ago? Very simple question as I've just begun time series analysis in this arena.

I've setup the entire excel calculation just need this detail ironed out.

Thank you.