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Vectorised Hurst Exponent Estimator
James Christopher
edited Dec 11, 2015
Research Statistics

Every now and then a discussion pops up about estimating and, naturally, the utility of the Hurst Exponent. Unfortunately it can be kind of computationally expensive to estimate, especially if you were to use it over a large number of securities, i.e. Pipeline. I tried to come up with a vectorised estimating function (or as close as possible) using the non-vector implementation from this repo, which I got to by way of this Quantopian thread.

If someone has a vectorised version already I'd love to see it. What I've got so far provides a pretty significant speed boost, which gets even more significant as the number of time series goes up. Anyhow, some feedback would be nice as I'd like to see what the Hurst has to offer.

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1 response
Simon Thornington
Dec 11, 2015

The interesting part for me is whether the regression of the lagged log standard deviations should have a free intercept. I think it should be 0-intercept, per http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2564916&download=yes , but that causes many of the results to be pretty far off. If you plot the charts of the lagged results, you can see it's pretty convex at shorter timescales, so the hurst exponent must depend on some assumption which doesn't hold in real life...

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.