Hurst Index (using Rescaled-Range)

Version 1.3 (8.32 KB) by Johannes Kalliauer
Hurst index calculated based on the rescaled range https://www.youtube.com/watch?v=l08LICz8Ink
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Updated 4 May 2023

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This code calulates the Hurst-index based on https://en.wikipedia.org/wiki/Rescaled_range .
If you have https://en.wikipedia.org/wiki/Wiener_process (Browinan) you need to set `TakeDifferences=true;`.
If you have https://en.wikipedia.org/wiki/White_noise (Gaussian) you need to set `TakeDifferences=false;`.
This example is based on an excel-function from https://www.youtube.com/watch?v=l08LICz8Ink (easy not very scientific video), however this Matlab-funtion has more features and increased performance.
Current scientific literature ESTIMATES the generalized Hust-index using Power-Spectral-Density (a different approach) see https://doi.org/10.1007/s004249900135 for more infos.
Copyleft:
This Code can be used under GNU AGPL 3.0 and CC-BY-SA 4.0, you can choose which license you prefer.

Cite As

Johannes Kalliauer (2024). Hurst Index (using Rescaled-Range) (https://www.mathworks.com/matlabcentral/fileexchange/128969-hurst-index-using-rescaled-range), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2023a
Compatible with R2020a and later releases
Platform Compatibility
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Version Published Release Notes
1.3