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September 04, 2014

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-- The first two are light reading from early champions of applying Rescale/Range analysis and the Hurst exponent to Financial time series.

Once again, with feeling: thou shalt not apply methods verified in natural processes to human processes. Human processes are the results of man's rules (which some men change at will to benefit themselves) and not God's.

As it happens, Floyd Norris in today's New York Times (http://tinyurl.com/kskb63z) gives a blow by blow recitation of just how perverse this process is. False confidence in one's quant expertise is dangerous to others.

For hydrologists, this paper should go on the reading list. Klemes explores the possible causes of the Hurst effect in stream flow.

Klemes, V. (1974) The Hurst phenomenon - a puzzle? Water Resources Research 10(4): 675-688.
http://onlinelibrary.wiley.com/doi/10.1029/WR010i004p00675/abstract

Thanks! Your code helped me to learn a little more about how to manipulate data easily in R! Really a very useful and interesting post.

If analysis of this data interests you, take a look at Ryan Turner's thesis regarding Gaussian Process Change Point Detection. This is one of the datasets he uses in that paper.

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