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What is Hurst Exponent H?

Definition of Hurst Exponent H

A measure of the bias in fractional Brownian motion.H=0.50 for Brownian motion. 0.50<H<1.00 for persistent, or trend-reinforcingseries.0<H<0.50 for an anti-persistent, ormean-reverting system. The inverse of the Hurstexponent is equal to alpha, the characteristic exponent for Stable Paretian distributions. The fractal dimension of a time series, D, isequivalent to 2-H.
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