Glossary term
Hurst Exponent
A statistical measure of time-series persistence on a 0-1 scale: below 0.5 is mean-reverting, above 0.5 is trending.
The Hurst Exponent is a statistical measure of how persistent a time series is, scored from 0 to 1. A value below 0.5 indicates mean-reverting behavior, above 0.5 indicates trending behavior, and 0.5 indicates a random walk. Closelook uses Hurst to classify which instruments suit trend-following versus mean-reversion strategies. See Hurst Exponent 101.