Hello Molida,

Thank you so much for your comment - I am pleased that the explanation was easy to understand.

Rescaled range analysis and the Hurst exponent were developed for time series data related to the annual flooding cycle of the Nile River. This time series is very similar to the returns for financial assets. You should be able to use return data. In fact, if you have access to a Bloomberg terminal the function 'KAOS' calculates the Hurst exponent for a series of closing prices for assets or a return series (if I am not mistaken).

I do not use Matlab so unfortunately cannot help you. There may be a help group for Matlab on LinkedIn.

Yours, in service,

Jason