After reading this paper I have been playing with Tradestation all morning, trying to see whether the Hurst exponent tells me anything useful about the markets I trade. I don’t have much to say because I am still playing with the calculations. The contents of the paper and some earlier experiments with (true range/standard deviation) make me think that it won’t tell me anything that can’t be seen in a price chart by a human being, and will be late doing it, but I am interested to check.