Hurst exponent and fat tails

To compute the Hurst exponent you need a well defined mean and variance. Has anyone found the estimate robust to fat tailed distributions like cauchy?

 

Cauchy has infinite (undefined) second moment, and sample estimates of mean (first moment) do not converge on true value.

Use sample median and inter-quartile range to infer expected mean and variance, then use those expectational values.

 

Tails make the difference!

 

Fractal market structure seems to make intuitive sense, but since the late 80's and early 90's when fractal market analysis started to become a "thing" to study, I have never seen anything published which could be termed a profitable trading system.

Fractal market theory seems to be sound, but I'm not sure anyone has figured out how to monetize that information. Good luck to you. Remember, Einstein was a postal clerk when he made his great intuitive leaps.

 

Definitely. I'm a fan of median absolute deviation. Have you played around with fractal volatility modeling?

 

Anyone who's figured it out would keep it to themselves, not blog about their profitable system.