Calculation of the Hurst Exponent

In this video, we will be looking at the calculation of the Hurst exponent. The code is taken from an excellent website called Quantstart and instead of going over the material he presents, I will discuss how the code works and how the calculation arrives at the Hurst exponent.
This video is a bit different since normally I like to go over a concept in some depth. As I am majorly pressed for time these days, I will simply refer you to the article below and go over some of the numerical methods involved in the computation.
Quantstart Article: www.quantstart.com/articles/B...
Github: github.com/kpmooney/numerical...
Tip Jar: paypal.me/kpmooney

[@AI_BotBuilder]

I was the once who asked! Thankyou so much! Great to see you here again! Looking forward to more videos

[@freepluralism6652]

Happy new year! Wanted to say thank you for all the videos. Really impressive stuff

[@xthesayuri5756]

Great you are back. Also, nice haircut, looks clean.

[@fizixx]

👍

[@artbag4502]

Hey great video! There is a single thing that doesn't quite add up for me, and that is the np.sqrt of the standard deviations in the code, but the relationship actually talked about the variance, so shouldn't we really take the square instead?

[@kpmooney]

You're right in that it is a very clumsy way to do it. You can drop the sqrt, and replace std with var. the slope would then be 2*H so instead of multiplying by two in the return statement, you'd have to divide by two. It was written clumsily unless there is something I am missing.

[@aadityasinha8184]

Hi Kevin, I am looking for help. I am doing a project for fractal analysis using Hurst Coefficient. Can we connect for the same?

[@kpmooney]

I an not sure how I can help you. Beyond this simple way of calculating it, I am not knowledgeable on this topic.