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.
Nearby TermsNo Substitution No-action letter Noah Effect NOB spread NOBO (Non-Objecting Beneficial Owner)
Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University