Sent from my phone. Please excuse my brevity.
On February 13, 2017 9:08:18 AM PST, Allan Tanaka <allantanaka11 at yahoo.com> wrote:
>Correction, it should look like this:**def hurst(ts): lags = range(2,
>100) tau = [np.sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in
>lags] poly = np.polyfit(log(lags), log(tau), 1) return poly[0]*2.0
>
>On Tuesday, 14 February 2017, 0:06, Allan Tanaka
><allantanaka11 at yahoo.com> wrote:
>
>
>Hi. Not sure why this code produces the error like this. This error
>appears when i run the code of print "Hurst(GBM): ? %s" % hurst(gbm):?
>Traceback (most recent call last):? File "<pyshell#31>", line 1, in
><module>? ? print "Hurst(GBM): ? %s" % hurst(gbm)NameError: name
>'hurst' is not defined
>
>Here is the full code:>>> import statsmodels.tsa.stattools as ts
>>>> import urllib>>> from datetime import datetime>>> from
>pandas_datareader import data, wb>>> from pandas_datareader.data import
>DataReader>>> goog = DataReader("GOOG", "yahoo", datetime(2000,1,1),
>datetime(2017,1,1))>>> ts.adfuller(goog['Adj Close'], 1>>> import numpy
>as np
>>>> from numpy import cumsum, log, polyfit, sqrt, std, subtract>>> from
>numpy.random import randn>>> def hurst(ts): lags = range(2, 100) tau =
>[sqrt(std(subtract(ts[lag:], ts[:-lag]))) for lag in lags] poly =
>polyfit(log(lags), log(tau), 1) return poly[0]*2.0>>> gbm =
>log(cumsum(randn(100000))+1000)>>> mr = log(randn(100000)+1000)>>> tr =
>log(cumsum(randn(100000)+1)+1000)>>> print "Hurst(GBM): ? %s" %
>hurst(gbm)
>
>
>
>
> [[alternative HTML version deleted]]
>
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