Calculation of the Hurst Exponent
In this video, we will be looking at the calculation of the Hurst exponent. The code is taken from an excellent website called Quantstart and instead of going over the material he presents, I will discuss how the code works and how the calculation arrives at the Hurst exponent.
This video is a bit different since normally I like to go over a concept in some depth. As I am majorly pressed for time these days, I will simply refer you to the article below and go over some of the numerical methods involved in the computation.
Quantstart Article: https://www.quantstart.com/articles/B...
Github: https://github.com/kpmooney/numerical...
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