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i have jurik's book, but i didn't get to may's section until you
mentioned it :))
i like the idea of messing around with the hurst coefficient/exponent
to measure persistence and antipersistence of any tradeable on any time
frame (even minute bars). fig 15.4 illustrates mispricing graphically
by showing the overlap areas from the gaussian (normal) and paretian
(stable) distribution plots. then you can get at whether the tradeable
has arb potential, ie, is it overpriced or underpriced.
i noticed that may includes a bloomberg chart that calculates the hurst
exponent and plots it as an indicator. is there any el code out there
to plot the hurst function? i thought i saw it somewhere (one of
brickey's lists?), but now i can't find it.
TJ
--- Gaius Marius <magnus@xxxxxxxxxxx> wrote:
> True (first time I've ever agreed with the Omega Man). I've read the
> introducing chapter outlining those concepts in the book,
> "Computerized
> Trading", edited by our own Mark Jurik. There are some useful items
> in that
> chapter that can help your trading. The Hurst coefficient can be used
> to
> determine if the trend will continue in the original direction or
> will it
> reverse its direction anytime soon. You can also use it to select
> securities
> that has a tendency to trend or not. By knowing what the Hurst
> coefficient
> is, you would also know when to switch from trading range
> systems/indicators
> to trending systems/indicators and vice versa.
>
> But you're right. There's hardly any codes.
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