Demystifying the Hurst exponent

Is the bitcoin market (Ethereum, Dash and Litecoin) efficient? After reading the paper, “Persistence in the cryptocurrency market”, which tries to answer that question, I was challenged by a colleague to replicate its results. This led me to write this post to highlight the great variability of the Hurst exponent estimation, not only between implementations but between series, and how risky it is to make conclusions from it.

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