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This Hurst and the Hurst's work I'm basing my work
is
J.M. Hurst who also is an engineer.
The Hurst that you are talking is responsible for
what is
called the Hurst Coefficient and is used by quite a
few
folks in ways that I am not familiar
with.
The following code by Bob Fulks
implements the Hurst
Coefficient computation in
Tradestation.
The attached picture shows VIX and a 100 bar
Hurst
Coefficient computed using this
algorithm.
Clyde
{
***********************************************************************
Function :
Hurst
Last Edit :
3/3/01
Provided By : Bob Fulks (based upon
code from andy@xxxxxxxxxx)
Description : Calculates the Hurst
Coefficient based upon the paper by J. Orlin
Grabbe at <<A
href="http://www.aci.net/kalliste/chaos7.htm";>http://www.aci.net/kalliste/chaos7.htm>
<FONT face=Arial
size=2>************************************************************************}
Inputs: Len(Numeric);Vars: Mean(0), j(0),
k(1.253314), SumSqr(0), Scale(0), MaxY(0), MinY(0),
Rng(0);Arrays: X[100](0), Y[100](0);
Mean = Average(C, Len);SumSqr = 0;for j = 0
to Len - 1 begin X[j] = C[j] - Mean; SumSqr =
SumSqr + X[j] * X[j];end;Scale = SquareRoot(SumSqr / Len);Y[0] =
X[0];MaxY = X[0];MinY = X[0];for j = 1 to Len - 1
begin Y[j] = Y[j - 1] + X[j]; if Y[j] > MaxY
then MaxY = Y[j]; if Y[j] < MinY then MinY =
Y[j];end;Rng = MaxY - MinY;Hurst = Log(Rng/(k * Scale)) /
Log(Len);
- - - - - - - - - - - - - - - - - - - - - - - - - - - -Clyde
Lee
Chairman/CEO (Home of
SwingMachine)SYTECH
Corporation email: <A
href="mailto:clydelee@xxxxxxxxxxxx";>clydelee@xxxxxxxxxxxx 7910
Westglen, Suite 105
Office: (713) 783-9540Houston, TX
77063
Fax: (713) 783-1092Details
at:
www.theswingmachine.com- - - -
- - - - - - - - - - - - - - - - - - - - - - - -
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
Ray
Raffurty
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Tuesday, August 13, 2002 10:25
AM
Subject: [RT] Hurst - VIX
Hi all RT's,
This is a copy of an article sent to me re. the
relationship between Hurst and the VIX. Interesting
reading.
Good luck and good trading,
Ray Raffurty
H.E. Hurst became intrigued with the Nile River while a civil servant in
Cairo in 1908. Actually, it was more like obsessed: His mathematically curious
mind led him to examine 800 years of flood data on the Nile River basin. He
was surprised when he noticed in the data that good flood years were generally
followed by good flood years, and bad years begat more bad years.
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