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Miha Kralj
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lib/statistics/hurst/Hurst.md
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| **PineScript** | [hurst.pine](hurst.pine) |
- The Hurst Exponent ($H$) quantifies long-range dependence in a time series through Rescaled Range (R/S) analysis.
- Parameterized by `period`.
- Output range: Varies (see docs).
- Requires `period + 1` bars of warmup before first valid output (IsHot = true).
- **Similar:** [ACF](../acf/Acf.md), [Entropy](../entropy/Entropy.md) | **Trading note:** Hurst exponent; H>0.5 = trending (persistent), H<0.5 = mean-reverting, H=0.5 = random walk.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
## Introduction
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- Mandelbrot, B.B. and Wallis, J.R. (1969). "Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence." *Water Resources Research*, 5(5), 967-988.
- Peters, E.E. (1994). *Fractal Market Analysis*. Wiley.
- Anis, A.A. and Lloyd, E.H. (1976). "The expected value of the adjusted rescaled Hurst range of independent normal summands." *Biometrika*, 63(1), 111-116.
- Lo, A.W. (1991). "Long-term memory in stock market prices." *Econometrica*, 59(5), 1279-1313.
- Lo, A.W. (1991). "Long-term memory in stock market prices." *Econometrica*, 59(5), 1279-1313.