Hi,

Thank you for the information on this page.

I was wondering if you should shed any light on this graph:

Graph: http://www.bearcave.com/misl/misl_tech/wavelets/hurst/moving_hurst.jpg
From website: http://www.bearcave.com/misl/misl_tech/wavelets/hurst/

Say a 15 day return, would you a;
1) Just take the stock price every 15 days and calculate returns from that
2) or make the width of your 1/32 component above to be 15 days so the whole range is 480 trading days (15 x 32).

I presume it is 1) above otherwise it would be impossible to calculate a 2 day Hurst exponent using this method (as 1/32 would be 1.5hr!).

Anyway if you could clarify that would be great.

Thank you