Hurst exponent

Discussion in 'Trading' started by fortuna, Aug 23, 2003.

  1. fortuna


    Is anyone following the KAOS function based on fractal maths ?

    At 0.5 the hurst component shows a random move for stock

    above 0.5 a persistent move stocks will continue in the same directiob

    below 0.5 a non persistant move / trend reversal is probable

    Does it work >
  2. nitro


    Does it work to do what?

    I have used it to get a feel for whether an instrument is more mean reverting or trend following over longer periods of time. Outside of that, IMHO, it is worthless.

  3. fortuna



    Did you make some quantitative studies for that or just a feeling we get ?

    I went through a lot of charts and it seems interesting . I am going to make a few tests.

    I then need a few references