A Python tool for calculating the Hurst Exponent of financial time series — a statistical measure that reveals whether a market is trending, random, or mean-reverting. Built for systematic traders, ...
hurst is a small Python module for analysing random walks and evaluating the Hurst exponent (H). H = 0.5 — Brownian motion, 0.5 < H < 1.0 — persistent behavior, 0 < H < 0.5 — anti-persistent behavior.
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