Application of Hurst Exponent (H) and the R/S Analysis in the Classification of FOREX Securities

This paper presents the relationship between the Hurst Exponent (H) and the Rescaled Range Analysis (R/S) in the classification of Foreign Exchange Market (FOREX) time series by the supposition of the existence of a Fractal Market in an alternative to the traditional theory of Capital Markets. In such a way, the Hurst Exponent is a metric capable of providing information on correlation and persistence in a time series. Many systems can be described by self-similar fractals as Fractional Brownian Motion, which are well characterized by this statistic.