Hurst Exponent for Algorithmic Trading

Quant trading

Hurst Exponent for Algorithmic Trading

This is the first post in a two-part series about the Hurst Exponent. Tom and I worked on this series
CointegrationFXQuant tradingRTrading booksZorro

Exploring mean reversion and cointegration with Zorro and R: part 1

This series of posts is inspired by several chapters from Ernie Chan’s highly recommended book Algorithmic Trading. The book follows Ernie’s