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Hurst exp and Benoit



PureBytes Links

Trading Reference Links

Thanks for your emails ... go here

http://www.trusoft.netmegs.com/benoit.html

the box on the right at the bottom has 5 different methods of estimation of
H.

I don't know which one is most "useful".

You might check out this email which appeared on the BF List.

"...I've been playing with TruSoft's Benoit software for fractal analysis.
One interesting (to me) thing I have seen thus far: If I choose my data set
to be, say, 5 min. intervals (S&P) across a few days, the Hurst exponent is
less than 0.5. However, if I choose the entire quarter, the Hurst expo is >
0.5. A noticeable change in behavior, which might should (qualify, qualify)
lead to differing trading behavior for short and, say, intermediate players.
Ronald Davis, CMT ..."

Best regards

Walter