It computes the Hurst exponent of a time series.
Project description
Hurst Exponent Package
Description
The function hurst takes a np.array of numbers and returns the Hurst exponent of the time series. The Hurst exponent is a measure of randomness of a time series. It is used in the study of long-term memory of time series. The value of the Hurst exponent is between 0 and 1. A value of 0.5 indicates that the time series is random. A value greater than 0.5 indicates that the time series is trending. A value less than 0.5 indicates that the time series is mean reverting.
Installation
pip install exp_hurst
Requirements
- numpy
- mmq
Usage
from coef_hurst import hurst
hurst(time_series)
Example
from exp_hurst import hurst
import numpy as np
# Create a time series of random numbers
rs = np.random.normal(0, 1, 100000)
# Evaluate the Hurst exponent
h = hurst(rs)
License
Author
[Igor Matheus Jasenovski]
Version
0.0.1
References
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