For those familiar with R, the Hurst exponent calculation is implemented in a few packages:

https://r-forge.r-project.org/scm/viewvc.php/pkg/PerformanceAnalytics/R…
http://www.inside-r.org/packages/cran/pracma/docs/hurst

Here's an interesting discussion of its evolution over time:

http://www.r-bloggers.com/exploring-the-market-with-hurst/