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Hurst Exponents Above 1.0?

Open mmehrle opened this issue 4 years ago • 1 comments

Hi Dmitry,

I was working with the latest release of your Hurst Exponent implementation (https://pypi.org/project/hurst/) and am seeing a bit of strangeness. Specifically my crypto price series seems to be getting HE values > 1.0, which obviously is incorrect.

I did email you the notebook as I am unable to attach it here.

Thanks in advance for any help.

mmehrle avatar Feb 16 '21 14:02 mmehrle

Try setting simplified=False, this fixed it for me.

StephanAkkerman avatar Apr 17 '23 05:04 StephanAkkerman