Hurst Exponent

Hurst Exponent for Algorithmic Trading

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This is the first post in a two-part series about the Hurst Exponent. Tom and I worked on this series together. I drew on some of his earlier work as well as other resources, including Quantstart.com. UPDATE 03/01/16: The Python code below has been updated with a more accurate algorithm for calculating the Hurst Exponent. …

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

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This series of posts is inspired by several chapters from Ernie Chan’s highly recommended book Algorithmic Trading. The book follows Ernie’s first contribution, Quantitative Trading, and focuses on testing and implementing a number of strategies that exploit measurable market inefficiencies. I’m a big fan of Ernie’s work and have used his material as inspiration for a great deal …

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