Hello Olivia,

The choice of the ranges is entirely arbitrary and is up to the analyst. One suggestion would be to use ranges that match your investment time horizon. For example, if your firm normally has a 2 year investment time horizon then make the ranges multiples or fractions of the 2 year time horizon. Or if your firm has an investment time horizon of 3 months then make your ranges multiples or fractions of that time horizon. One other suggestion would be to create an algorithm that looks for sustained Hurst exponents by utilizing thousands of different time horizons.

Yours, in service,

Jason