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Hurst Exponents Above 1.0? #10

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mmehrle opened this issue Feb 16, 2021 · 1 comment
Open

Hurst Exponents Above 1.0? #10

mmehrle opened this issue Feb 16, 2021 · 1 comment

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@mmehrle
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mmehrle commented Feb 16, 2021

Hi Dmitry,

I was working with the latest release of your Hurst Exponent implementation (https://pypi.org/project/hurst/) and am seeing a bit of strangeness. Specifically my crypto price series seems to be getting HE values > 1.0, which obviously is incorrect.

I did email you the notebook as I am unable to attach it here.

Thanks in advance for any help.
@StephanAkkerman
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Try setting simplified=False, this fixed it for me.

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@mmehrle @StephanAkkerman