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Ronald McEwan wrote:
>
> I am trying to get information on the "Hurst Exponent" as applied to
> stock market analysis. Does anybody know of a good source of info on this
> topic. I would like to be able to use this formula in excel if it is
> possible.
>
> Thank You
> Ron McEwan
Have a look at "Chaos and Order In the Capital Markets" 2nd ed. by Edgar
Peters (Wiley). He discusses the Hurst Exponent an includes formulas for
calculating it. The diskette included with his book includes a program
to perform Rescaled Range analysis. Try also his Web page at,
--
,-._|\ Richard
/ Oz \
\_,--.x/
v
<x-html><BASE HREF="http://oara.org/mpc/fma/";>
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<TR><TD><A NAME="Top"><IMG SRC="fmalogo.jpg" ALIGN=LEFT ALT="Fractal Image"></TD>
<TD><FONT SIZE=5>
<FONT SIZE=6>F</FONT>RACTAL
<FONT SIZE=6>M</FONT>ARKET
<FONT SIZE=6>A</FONT>NALYSIS
<FONT SIZE=6>H</FONT>OME
<FONT SIZE=6>P</FONT>AGE</A>
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<A NAME="announcement"></A>
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<FONT SIZE="+2"><STRONG>Announcing chaos50.exe</STRONG></FONT>
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</TR>
<TR>
<TD>
If you've been waiting patiently for me to upgrade the chaos demo programs, then your wait may finally be over. I have rebuilt the application with Visual Basic 5.0 and tested it on a Windows NT Server machine that has never had VB installed on it. If you are running under a 32 bit operating system such as Windows 95 or Windows NT, then you are welcome to download the 2MB zip file (approx 15 minutes at 28.8K) that contains the newest build. As usual, use this program <B>at your own risk</B>, and use it <B>only for educational purposes</B>.
</TD>
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<P>
Oregon Adoptive Rights Association.
<P>
Simply follow these two links to Amazon.com, purchase as many books as you need, and a portion of the sale will be returned to this Web site. All these revenues will, in turn, be reinvested in OARA's important work.
<P>
Chaos and Order in the Capital Markets, 2nd Edition<BR>
Fractal Market Analysis
<P>
Now, on with the principal business at hand...
<P>
[Welcome] <BR>
[Table of Contents] <BR>
<HR>
<A NAME="Welcome"></A>
<h3>Welcome</h3>
This Web site is an experiment. Never before has it been possible
for a reader of a book to be so involved
in the dissemination and evolution of its ideas. This is an educational site, not a commercial site. A careful reading of the work of Edgar E. Peters will show his mission is not to make money, it is to make a difference in the way people think about money. As Peters says, his theories are "a first cut at unraveling the global structure of markets." Do not use these nascent ideas to design a portfolio or make other financial investments. If you ignore this warning, you cannot blame us. Consider this warning a disclaimer.
<p>
When I say that this is an educational site, I do not mean to suggest that <I>I</I> can teach anything. It is educational because it literally represents what I have learned, not what I can teach. What follows is a paraphrase of what Mr. Peters has written. What follows consists in this general paraphrase and in several tutorials that explore details Peters necessarily leaves alone. My reflections on logarithms and related ideas are a good example of the kind of side trip you can expect on this site. In truth, since I am not bound by the economics of the hard copy publishing business, I can take my time on these by-ways of the information highway. You, the reader, call the shots; if I dwell too long on a subject, you can return to the mainstream of this site with a click of the back button.
<P>
Because the material on this site is a paraphrase, only I can be held accountable for it. Mr. Peters graciously gives his time to periodically review what I have written to at least ensure its congruence to his research. He has all of my undying gratitude, but none of my responsibility. I hope making the work of Edgar Peters available to others in all walks of life, will contribute in some small way to the great vision Mr. Peters has for the next level of understanding of the creation of wealth.
<H3>What is Fractal Market Analysis and who is Edgar Peters?</H3>
Edgar Peters is a
classically trained economist who studied under the Nobel laureate
Harry Markowitz. He is Senior Manager of Systematic Asset Allocation
for PanAgora Asset Management, Inc. in Boston, MA. A personal look at Mr. Peters can be found in an on-line interview I did with him.
His published work <B>as a whole</B> will be referred to as Fractal Market Analysis or FMA (reference to Peters' second book by the same name will
be italicized to distinguish it from the larger discipline of FMA which that book introduced).
<H3>The purpose of this site</H3>
<b>This site is a preview of the book.</b> The purpose of this site is to make Peters' work more accessible in two dimensions. First, visitors to this page do not have to purchase his book to see what he says; so this page will make
for a broader exposure. Some visitors may decide they need to check his books out from a library or purchase them for themselves, and to that extent, this page will encourage a deeper exposure to Peters' work as well.
<P>
<b>A higher quality of a reading experience.</b> Second, and much more importantly, this site is designed to make exposure to Peters' thought more enriching for his readers. For all their virtues, paper books have serious limitations which do not hinder hypertext computer-mediated environments such as the FMA Home Page. For example, some of the services offered by
this home page enhance the accuracy of the current edition of <I>FMA</I> and should contribute substantially to the quality of the Second Edition of that book.
<P>
Perhaps the most exciting potential of this page is that readers
can be much more active. Students of finance and finance professionals
and practitioners can replicate nearly all of the experiments and tests Peters summarizes in his books. Nothing can replace the feeling of discovery, and nothing will make your work with <I>FMA</I> more vivid
than doing the work yourself and comparing notes with the author.
<p>
<b>Encouraging engaged readers. </b>One of the reasons that many good ideas in the past had short lives was that too few people had the resources to be engaged in the ongoing evolution of those good ideas. As we have said, paper books are wonderful but limited. Active readers are still passive when compared to <B>engaged</B> readers, and engaged readers use pages like this. Peters concluded <I>FMA </I>with,
<BLOCKQUOTE>
"My second purpose centered around outlining a general hypothesis
for synthesizing different models into a coherent whole. This
hypothesis was to be consistent with the empirical facts, utilizing
a minimal amount of underlying assumptions. I called my model
the Fractal Market Hypothesis (FMH). I consider this conjecture
to be the first cut at unraveling the global structure of markets.
The FMH will undoubtedly be modified and refined over time, if
it stands up to scrutiny by the investment community..."
</BLOCKQUOTE>
<P>
We suggest that the best way to get the "scrutiny by the
investment community" is through engaged reading of Peters'
original work and subsequent editions, and through the work presented
in these pages. The latter is <B>your</B> work. I am merely the
typist.
<HR>
<H2><A NAME="TOC">Table of Contents</A></H2>
<P>
[Go to Top]
<OL TYPE=I>
<LI>Interview With Edgar E. Peters
<LI>Book Reviews
<OL TYPE=A>
<LI>Original Review - submitted for
publication (2,800 words)
<LI>Published Version - shorter version (1,400 words) published in the October 1995 edition of <I>Journal
of Financial Planning</I>
</OL>
<LI>Tutorials
<OL TYPE=A>
<LI>Part I: The Basics - Introduction to fractals and the Fractal Market Hypothesis
<LI>Part II: The Tools - Introduction to R/S analysis
<LI>Part III: The Math - Fractal Noise and Fractal Statistics
<LI>Part IV: The Fringe - Chaos Theory at the fringe of finance.
</OL>
<LI>References
<OL TYPE=A>
<LI>Glossary - hypertexted to original material
<LI>Index - Includes terms or references not found in original indexes
<LI>Non-Linear Dynamics FAQ
</OL>
<LI>Author Approved Errata
<OL TYPE=A>
<LI>Typos
<LI>Revisions
</OL>
<LI>Problem Schema - Outline of <I>FMA</I> according to a problem
specification offered by Root-Bernstein
<LI>Future Research
<OL TYPE=A>
<LI>Identified by Peters
<LI>Taken from Problem Schema
</OL>
<LI>FTP Resources
<OL TYPE=A>
<LI>Excel 95 examples
<OL TYPE = 1>
<LI>Logistic Map
<LI>Henon Map
<LI>Mackey-Glass Model
<LI>Relaxation Process
</OL>
<LI>Visual Basic (Beta) Programs<BR>
NOTE: If you missed the announcement of the new VB 5.0 version of the chaos demo, go back up and read it.
<OL TYPE = 1>
<LI>Chaos demonstrations for <I>Chaos & Order in the Capital Markets: Second Edition</I>.
<OL TYPE = a>
<DT><LI>VB 4.0 Project file chaos.zip</DT>
<DD>Everyone needs to download this at least once. It is a 253 KB download and includes the readme.txt file and the chaos.exe, comdlg16.ocx, and related input text files.</DD>
<DT><LI>The latest build of the VB4 executable chaos.exe</DT>
<DD> Version 0.95.0010 dated 7/3/96 (80 KB download as needed to stay current and you do not want the source code or input files)</DD>
<DT><li>For FMA readers who have never installed a Visual Basic program on their PCs, here are the links to Visual Basic 4.0 16-bit Runtime Files you need to use the FMA Demo program.
<ol>
<li>For those who prefer Web access: Dave McCarter's VB Tips & Tricks.
<P>
<li>For speed, go with FTP at the following address: <b>ftp.apexsc.com</b> <BR>
In this directory: <b>/pub/cgvb/misc/</b>
<ul>
<LI>Single download (1.3MB) <i>vb4run16.exe</i>
<P>
<li>Multiple files. Download all three into temporary subdirectory and run the exe file.
<ul>
<LI><i>vb4r16M.exe</i>
<li><i>vb4r16M.w02</i>
<li>vb4r16M.w03
</ul>
</ol>
<BR><BR>
</OL>
<LI>From <I>Fractal Market Analysis</I>
<OL TYPE = a>
<LI>The Chaos Game
<LI>Rescaled Range Analysis
<LI>Calculating the Term Structure of Volatility
<LI>Calculating E(R/S)
<LI>Calculating Sequential Standard Deviation and Mean
</OL>
<!--<LI>You will need VBRUN300.DLL in your WINDOWS\SYSTEM directory to run these programs.-->
</OL>
</OL>
<!--<LI>Data Sets
<OL TYPE=A>
<LI>Dow Jones Industrials Five Day Prices 1888-1991
<LI>Dow Jones Industrials Twenty Day Prices 1888-1991
<LI>S&P 500 Prices
<LI>Consumer Price Index
</OL>-->
</OL>
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[Guestbook]
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<P>
<FONT SIZE=1>
Updated: Sunday, April 13, 1997 11:42:02 AM
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</x-html>From ???@??? Sat Nov 01 17:41:54 1997
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From: THE DOCTOR <droex@xxxxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Subject: Re: Victor Niederhoffer
References: <3457B852.7382@xxxxxxxxxxxx> <3457CE82.78F2@xxxxxxxxxxxx> <345B5D31.9F2C0A3@xxxxxxx>
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Status:
I got to stop answering e mail from the airplane. I can hardly type
under normal conditions.
The story circulating in the Chicago derivate community about Vic
relates to his having been short combos in the S & P 500 future and
getting hurt not only by price action but by the huge change in implied
vol. The futures options require "variation" margin which he could not
meet. Again I'll emphasize that this is merely a story circulating in
the community.
It couldn't have been in the securities option, I think, or we would
have heard more about it on the CBOE floor. I just got back from a
series of Dow seminars in Houston. We had in the neighborhood of 1,000
people in all three seminars. IMHO the DJX has been a huge beneficiary
of this week's vol......Would you rather be lucky or smart? The
introduction three weeks back could not have been timed better. Open
Interest in the DJX short options now exceeds 300,000 contracts. The
biggest product introduction in history.
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