Hurst exponent

F

fortuna

Is anyone following the KAOS function based on fractal maths ?

At 0.5 the hurst component shows a random move for stock

above 0.5 a persistent move stocks will continue in the same directiob

below 0.5 a non persistant move / trend reversal is probable


Does it work >
 
Does it work to do what?

I have used it to get a feel for whether an instrument is more mean reverting or trend following over longer periods of time. Outside of that, IMHO, it is worthless.

nitro
Quote from fortuna:

Is anyone following the KAOS function based on fractal maths ?

At 0.5 the hurst component shows a random move for stock

above 0.5 a persistent move stocks will continue in the same directiob

below 0.5 a non persistant move / trend reversal is probable


Does it work >
More...
 
THANKS

Did you make some quantitative studies for that or just a feeling we get ?

I went through a lot of charts and it seems interesting . I am going to make a few tests.

I then need a few references
 
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