roll_hurst: Calculate a time series of _Hurst_ exponents over a rolling...
In algoquant/HighFreq: High Frequency Time Series Management
roll_hurst R Documentation
Calculate a time series of Hurst exponents over a rolling look-back
interval.
Description
Calculate a time series of Hurst exponents over a rolling look-back
interval.
Usage
roll_hurst(ohlc, look_back = 11)
Arguments
ohlc
An OHLC time series of prices in xts format.
look_back
The size of the look-back interval, equal to the number of
rows of data used for aggregating the OHLC prices.
Details
The function roll_hurst() calculates a time series of
Hurst exponents from OHLC prices, over a rolling look-back
interval.
The Hurst exponent is defined as the logarithm of the ratio of the
price range, divided by the standard deviation of returns, and divided by
the logarithm of the interval length.
The function roll_hurst() doesn't use the same definition as the
rescaled range definition of the Hurst exponent.
First, because the price range is calculated using High and
Low prices, which produces bigger range values, and higher
Hurst exponent estimates.
Second, because the Hurst exponent is estimated using a single
aggregation interval, instead of multiple intervals in the rescaled range
definition.
The rationale for using a different definition of the Hurst exponent
is that it's designed to be a technical indicator for use as input into
trading models, rather than an estimator for statistical analysis.
Value
An xts time series with a single column and the same number of
rows as the argument ohlc.
Examples
# Calculate rolling Hurst for SPY in March 2009
hurst_rolling <- roll_hurst(ohlc=HighFreq::SPY["2009-03"], look_back=11)
chart_Series(hurst_rolling["2009-03-10/2009-03-12"], name="SPY hurst_rolling")
algoquant/HighFreq documentation built on Feb. 9, 2024, 8:15 p.m.
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| roll_hurst | R Documentation |
Calculate a time series of Hurst exponents over a rolling look-back interval.
Description
Calculate a time series of Hurst exponents over a rolling look-back interval.
Usage
roll_hurst(ohlc, look_back = 11)
Arguments
ohlc |
An OHLC time series of prices in xts format. |
look_back |
The size of the look-back interval, equal to the number of rows of data used for aggregating the OHLC prices. |
Details
The function roll_hurst() calculates a time series of
Hurst exponents from OHLC prices, over a rolling look-back
interval.
The Hurst exponent is defined as the logarithm of the ratio of the price range, divided by the standard deviation of returns, and divided by the logarithm of the interval length.
The function roll_hurst() doesn't use the same definition as the
rescaled range definition of the Hurst exponent.
First, because the price range is calculated using High and
Low prices, which produces bigger range values, and higher
Hurst exponent estimates.
Second, because the Hurst exponent is estimated using a single
aggregation interval, instead of multiple intervals in the rescaled range
definition.
The rationale for using a different definition of the Hurst exponent is that it's designed to be a technical indicator for use as input into trading models, rather than an estimator for statistical analysis.
Value
An xts time series with a single column and the same number of
rows as the argument ohlc.
Examples
# Calculate rolling Hurst for SPY in March 2009
hurst_rolling <- roll_hurst(ohlc=HighFreq::SPY["2009-03"], look_back=11)
chart_Series(hurst_rolling["2009-03-10/2009-03-12"], name="SPY hurst_rolling")
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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