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Hurst Exponent(H)

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Hurst Exponent(H)

A measure of the bias in fractional Brownian motion. H=0.50 for Brownian motion. 0.50trend-reinforcing series. 0anti-persistent, or mean-reverting system. The inverse of the Hurst exponent is equal to alpha, the characteristic exponent for Stable Paretian distributions. The fractal dimension of a time series, D, is equivalent to 2-H.

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