Noah Effect


The tendency of persistent time series (0.50<H<1.00) to have abrupt, and discontinuous changes. The normal distribution assumes continuous changes in a system. However, a time series which exhibits Hurst statistics may abruptly change levels, skipping values either up or down. Mandelbrot coined the term "Noah effect" after the biblical story of the deluge. See: Joseph Effect, Hurst Exponent, Persistence, Anti-persistence.

Investing Essentials

Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

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An entity that stands ready and willing to buy a security for its own account (at its bid price) or sell from its own account (at its ask price). Individual or firm acting as a principal in a... Read More

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