Discussion of article "Calculating the Hurst exponent"
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New article Calculating the Hurst exponent has been published:
The article thoroughly explains the idea behind the Hurst exponent, as well as the meaning of its values and the calculation algorithm. A number of financial market segments are analyzed and the method of working with MetaTrader 5 products implementing the fractal analysis is described.
Thus, our hypothesis is confirmed, and the market demonstrates the considerable anti-persistent process on this horizon — the Hurst exponent H=0.490 which is almost three standard deviations lower than the expected value E=0.557.
Let's fix the result and use a slightly higher timeframe (H2) and accordingly twice smaller number of bars in history (1000 values). The results are as follows:
Author: Dmitriy Piskarev