s Hurst Exponent and its Applications in Time-series Analysis

The Hurst exponent is an index of fundamental importance in the analysis of the long range dependence features of observable time-series. As such, it has been estimated and analyzed in an astonishing number of physical systems. Over the time, various estimation methods as well as generalizations have been suggested and discussed: we therein judge straightforward to review the most important ones. In addition, we offer some insights on recent literature evolution and on patents that address practical implementation of the Hurst exponent.