I am trying to test Hurst exponent in different time lag range. However, i got negative values in some time lag range which is weird, because the Hurst exponent should have values within the range from 0 to 1. This is the Python code to calculate the Hurst exponent: calculate Hurst lag1 = 2 lags = range(lag1, 20)
tau = [sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in lags]
plot(log(lags), log(tau)); show() m = polyfit(log(lags), log(tau), 1)
hurst = m[0]*2
print 'hurst = ',hurst When l