eJMT Abstract

Title Estimation of the Hurst Exponent for Market Indices by Use of Rescaled Range Method and CAS Mathematica. Case study: S&P 500
Author Zuzanna RZESZOTKO
Volume 6
Number 3

Methodology of estimating the Hurst exponent using rescaled range method by use of Computer Algebra System “Mathematica” is presented. Depending on its value, this measure of persistence indicates a random walk, “mean-reverting” series or trend reinforcing series. In this paper long-term memory of a time series of S&P 500 index weekly returns is tested based on the Hurst exponent value.