rescaled range analysis

rescaled range analysis
The analysis developed by H.E. Hurst to determine long-memory effects and fractional Brownian motion. Rescaled range analysis measures how the distance covered by a particle increases as we look at longer and longer time scales. For Brownian motion, the distance covered increases with the square root of time. A series which increases at a different rate is not random. Bloomberg Financial Dictionary
See: anti-persistence, fractional Brownian motion, Hurst exponent, persistence , Joseph effect, Noah effect. Bloomberg Financial Dictionary

Financial and business terms. 2012.

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