Calculation of Hurst exponent. Financial data.

[john345]

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"):

1.14128
1.14133
1.14127
1.14132
1.14138
1.14142
1.14136
1.14141
1.14137

and 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 1
1.14133 1
1.14127 0
1.14132 1
1.14138 1
1.14142 1
1.14136 0
1.14141 1
1.14137 0

Finally, 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