Long-Term Memory in Asset Prices With Hurst Exponent

Long-Term Memory in Asset Prices

Assessing Persistence in Financial Markets With Hurst Exponent

Advanced Data Science Techniques

By calculating the Hurst exponent, this tool helps you understand whether a stock's price is trending, mean-reverting, or following a random walk.

Hurst Exponent

What is the Hurst Exponent? The Hurst exponent (𝐻) is a statistical measure that helps to determine the persistence of a time series. Persistence refers to the tendency of a time series to continue moving in the same direction, either trending upwards or downwards, over a period of time..

Volume Profile and KMeans Clustering

The tool offers volume profile analysis, displaying trading volume at various price levels. It also uses KMeans clustering to segment stock data into clusters. These methods help identify patterns, key price levels, and high trading activity areas that can serve as support or resistance.

Benefits of Long-term Analysis

Trend Identification: Detect persistent trends with high Hurst exponent values to capitalize on ongoing market movements.
Investment Timing: Identify mean-reverting behavior with low Hurst exponent values to optimize entry and exit points for trades.
Market Behavior: Recognize random walk patterns with Hurst exponent values around 0.5 to manage risk and avoid speculative trades.

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