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Volume 31, Issue 1 Hurst 's exponent behaviour, weakform stock market efficiency and financial liberalization: the Tunisian case Chaker Aloui Mr IFGT Ben hamida Hela miss FDSEPS Abstract In this paper,.

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The Hurst exponent is a single scalar value that indicates if a time series is purely random, trending, or rather mean reverting. Thus, it can validate either momentum or mean-reverting strategies. The Hurst exponent uses the variance of a log price series to assess the rate of diffusive behavior.

Trading Strategy #1 – Buy and Hold This is done with the expectation for long-term gains, and it's a strategy employed over several years (and sometimes, even decades.)

The Hurst Exponent is estimated by fitting the power-law E[R(n)/S(n)]=C×nH to the data. This is done by taking the logarithm of both sides and fitting a straight line. The slope of the line gives H (i.e., Hurst Exponent Estimate).

The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series either to regress strongly to the mean or to cluster in a direction.

The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series and the rate at which these decrease as the lag between pairs of values increases The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence".

The Hurst exponent is typically denoted by the letter H and can take on values between 0 and 1. A value of H greater than 0.5 indicates that the time series exhibits long-term trends, while a value of H less than or equal to 0.5 indicates that the time series fluctuates randomly.

The Hurst exponent was estimated to be 0.95, which indicates a persistent time series. A Hurst exponent value between 0.5 and 1.0 indicates persistent behavior; the larger the H value the stronger the trend.

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Form Packages
Adoption
Bankruptcy
Contractors
Divorce
Home Sales
Employment
Identity Theft
Incorporation
Landlord Tenant
Living Trust
Name Change
Personal Planning
Small Business
Wills & Estates
Packages A-Z
Form Categories
Affidavits
Bankruptcy
Bill of Sale
Corporate - LLC
Divorce
Employment
Identity Theft
Internet Technology
Landlord Tenant
Living Wills
Name Change
Power of Attorney
Real Estate
Small Estates
Wills
All Forms
Forms A-Z
Form Library
Customer Service
Terms of Service
Privacy Notice
Legal Hub
Content Takedown Policy
Bug Bounty Program
About Us
Blog
Affiliates
Contact Us
Delete My Account
Site Map
Industries
Forms in Spanish
Localized Forms
State-specific Forms
Forms Kit
Legal Guides
Real Estate Handbook
All Guides
Prepared for You
Notarize
Incorporation services
Our Customers
For Consumers
For Small Business
For Attorneys
Our Sites
US Legal Forms
USLegal
FormsPass
pdfFiller
signNow
airSlate WorkFlow
DocHub
Instapage
Social Media
Call us now toll free:
+1 833 426 79 33
As seen in:
  • USA Today logo picture
  • CBC News logo picture
  • LA Times logo picture
  • The Washington Post logo picture
  • AP logo picture
  • Forbes logo picture
© Copyright 1997-2025
airSlate Legal Forms, Inc.
3720 Flowood Dr, Flowood, Mississippi 39232