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john345

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About john345

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  1. Hello,I am trying to calculate Hurst exponent using as an input FX Tick Volume. However being not educated in advanced math and physics, I struggle to obtain clear and objective results. I am not sure whether I get reliable Hurst exponent calculation.One Tick is each change of price, which can occur a few times a second. As there is no source for the Real Volume(in USD etc.), Tick Volume is the only reliable data available for research purpose.What I do is I take a sample of Tick Volume(below you will find just a fraction, I attached full sample in file "DATA"):1.141281.141331.141271.141321.141381.141421.141361.141411.14137and then I change it into a binary system, tick higher(price higher) than previous=1 and lower(price lower) than previous=0.I get:1.14128 11.14133 11.14127 01.14132 11.14138 11.14142 11.14136 01.14141 11.14137 0Finally, I put "0/1" results into excel sheet with Hurst formula(please see attached file "HURST FORMULA", which I found on the internet).My questions are:1. Those it has any sense to change prices into a binary system?2. Those my Hurst formula provides/could provide objective results, should I use a different method?3. Maybe there is any software to calculate Hurst Exponent?4. Maybe there something I do not know concerning Hurst Exponent calculation, and one could enlighten me? Thanks in advance for your help, regards. DATA.xls HURST FORMULA.xls
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