See Also: Hurst Exponent(H)(money)
Hurst exponent(H)(finance)
hurst(dictionary)
Hurst(medicine)
Hurst bougies(medicine)
exponent(medicine)
exponent(dictionary)
exponent(dictionary)
hydrogen exponent(medicine)
Tight money or dear money(finance)

Hurst Exponent(H) (money)


Definition: [crh] A measure of the bias in fractional Brownian motion. H=0.50 for Brownian motion. 0.50<H<1.00 for persistent, or trend-reinforcing series. 0<H<0.50 for an anti-persistent, or mean-reverting system. The inverse of the Hurst exDefinition: ponent is equal to alpha, the characteristic exponent for Stable Paretian distributions. The Definition: =fractal+dimension">fractal dimension of a time series, D, is equivalent to 2-H.