Hurst Exponent
Calculate the Hurst Exponent of each asset’s daily returns, a measure of long-term memory that indicates whether a series is mean-reverting, trending, or a random walk.
The Hurst Exponent (H) is interpreted as follows:
- H < 0.5: the series is mean-reverting (anti-persistent).
- H = 0.5: the series is a random walk (no memory).
- H > 0.5: the series is trending (persistent).
Hurst Exponent in Python
Install the Finance Toolkit with:
pip install financetoolkit -U
Then call get_hurst_exponent as shown below.
from financetoolkit import Toolkit
toolkit = Toolkit(["AMZN", "TSLA"], api_key="FINANCIAL_MODELING_PREP_KEY")
toolkit.risk.get_hurst_exponent()
Which returns:
| 0 | |
|---|---|
| AMZN | 0.4553 |
| TSLA | 0.5122 |
| Benchmark | 0.4515 |
Parameters
The function accepts the following parameters:
- max_lag (int, optional): The maximum lag to use when estimating the exponent. Defaults to 20.
- rounding (int | None, optional): The number of decimals to round the results to. Defaults to 4.