Thanks for your comment. Yes, the Hurst exponent calculations for the S&P 500 will appear in a subsequent post here on CFA Institute's The Enterprising Investor blog.
In order to use rescaled range analysis for the Colombo Stock Exchange you simply need long time series of data. I would recommend daily closing prices over the course of at least a decade. Then follow the steps I describe in the above blog post. Also, there is a link in the above post that allows you to download an Excel spreadsheet that demonstrates each of the calculations.
A Hurst exponent of less than 0.5 suggests mean reversion. The lower the Hurst exponent the greater the mean reversion.
Hello Hisham,
Thanks for your comment. Yes, the Hurst exponent calculations for the S&P 500 will appear in a subsequent post here on CFA Institute's The Enterprising Investor blog.
In order to use rescaled range analysis for the Colombo Stock Exchange you simply need long time series of data. I would recommend daily closing prices over the course of at least a decade. Then follow the steps I describe in the above blog post. Also, there is a link in the above post that allows you to download an Excel spreadsheet that demonstrates each of the calculations.
A Hurst exponent of less than 0.5 suggests mean reversion. The lower the Hurst exponent the greater the mean reversion.
I hope that helps!
With smiles,
Jason