Risk and return · updated October 21, 2026
What is the Hurst exponent
The Hurst exponent shows whether price moves have memory: whether a rise tends to be followed by another rise or, on the contrary, by a reversal. At 0.5 the price moves at random; above 0.5 it trends; below 0.5 it snaps back toward the average.
The Hurst exponent formula
Hurst=slope of log(R/S) against log(n)
- R/S
- The range of cumulative moves divided by the standard deviation, over windows of different lengths.
- n
- The window length, in days.
- The slope
- How fast R/S grows as the window gets longer: that is the value of H.
How to read the Hurst exponent
Below 0.45snaps back to the average
0.45 - 0.55random
Above 0.55tends to keep its direction
Most large stocks sit close to 0.5 almost all the time. Big deviations are rare and usually temporary.
When the Hurst exponent can fool you
Very sensitive to the data: over short periods the value jumps easily. It is not a buy or sell signal.
Related terms
Questions about the Hurst exponent
Can I make money with the Hurst exponent?
Not directly. It shows how the price has behaved, not what it will do tomorrow.
These explanations are for information only. They are not a recommendation to buy or sell.
Back to the glossary