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Estimating the Hurst Exponent with Excel Resources

Article Quant Q&A · Author: Add
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Summary

The document concerns estimating the Hurst exponent in a spreadsheet and a user’s difficulty when the calculated value sometimes exceeds one. The replies point to explanatory material on the exponent and to an Excel workbook intended to calculate it.

The discussion offers references rather than a derivation, a calculation procedure, or a diagnosis of why the reported estimates exceed one. It therefore gives a starting point for learning and spreadsheet-based estimation, but does not establish that a particular workbook is accurate or explain the estimator’s assumptions, data requirements, or interpretation. Researchers should consult the referenced methodology and validate any spreadsheet implementation before relying on its output.

Key ideas

  • The question concerns Hurst exponent estimates computed in Excel.
  • The replies direct readers to explanatory material and a spreadsheet calculator.
  • The discussion does not explain why estimates may exceed one.
  • A suggested workbook is not independently validated in the document.

Tags

StatisticsTechnical indicators
Full text
# Hurst Exponent Calculation


# Hurst Exponent Calculation












I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate accurate values using Excel.

## Answer by Louis Marascio (score 5, accepted)

https://quant.stackexchange.com/a/4495

A detailed description of the Hurst Exponent can be found here. A further (rather short search of Google) turned up this site claiming to provide an Excel Workbook with, among other things, Hurst Exponent estimation.

## Answer by J. Steed Huang (score 0)

https://quant.stackexchange.com/a/53116

You can try the excel sheet we did a few years ago: https://www.researchgate.net/publication/272792633_Excel_Hurst_Calculator

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.