Hurst-Exponent

This is just another repo with an implementation of the Hurst exponent. The main application is to detect the mean reversion (H<1/2), the trending (H>1/2) or the Brownian Motion (H=1/2) behaviour of a time series.

To Do:

[-] Write a minimum description of the Hurst exponent and bibliography.

[-] Upload the FX experiment

[-] Upload experiment buying/selling trading strategy following the rolling HE.

Computation of Hurst Exponent of the LBG Stock.