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unusual facts about rescaled range


Rescaled range

Several researchers (including Peters, 1991) have found that the prices of many financial instruments (such as currency exchange rates, stock values, etc.) also have H > 1/2.


Edgar E. Peters

Peters worked as an asset manager for PanAgora Asset Management, Inc., during which time he researched rescaled range analysis, and attempted to estimate the Hurst exponent of various financial markets.


see also