TSHURST(1)							    TSHURST(1)



NAME
       tshurst - calculate the Hurst coefficient for a time series

SYNOPSIS
       tshurst [-a] [-d] [-f] [-m] [-p] [-r] [-v] [filename]

DESCRIPTION
       Tshurst	is  for  calculating  the Hurst coefficient for a time series.
       The method used is from	"Complexification,"  John  L.  Casti,  Harper-
       Collins,  New  York,  New  York,  1994,	ISBN 0-06-016888-9, pp 253, or
       "Chaos and Order in the Capital Markets," Edgar E. Peters, John Wiley &
       Sons,  New  York,  New York, 1991, ISBN 0-471-53372-6, pp 63, or "Frac-
       tals, Chaos, Power Laws," Manfred Schroeder, W. H. Freeman and Company,
       New York, New York, 1991, ISBN 0-7167-2136-8, pp 129, or "Applied Chaos
       Theory: A Paradigm for Complexity," A. B. Cambel.  Academic Press,  San
       Diego,  California,  1993, ISBN 0-12-155940-8, pp 172.  The time series
       is broken into variable length intervals, which are assumed to be inde-
       pendent	of each other, and the R/S value is computed for each interval
       based on the deviation from the average over the  interval.  These  R/S
       values are then averaged for all of the intervals, then printed to std-
       out. The -r flag sets operation as described in "Chaos and Order in the
       Capital	Markets,"  by  Edgar E. Peters, pp 81, and should only be used
       for time series from market data since logarithmic returns sum to cumu-
       lative  return-negative numbers in the time series file are not permit-
       ted with this option. The log (R/S) vs log (time) plot  is  printed  to
       stdout.

       The  input file structure is a text file consisting of records, in tem-
       poral order, one record per time  series  sample.   Blank  records  are
       ignored,  and  comment  records are signified by a '#' character as the
       first non white space character in the record. Data records  must  con-
       tain at least one field, which is the data value of the sample, but may
       contain many fields-if the record contains many fields, then the  first
       field  is regarded as the sample's time, and the last field as the sam-
       ple's value at that time.

OPTIONS
       -a     Do not subtract mean of intervals from values in intervals.

       -d     The input file is a derivative of a time series, instead	of  an
	      integral, or cumulative sum.

       -f     Output  linear  range  and standard deviation values. The output
	      file consists of tab delimited fields-the  first	field  is  the
	      number of elements from the time series in an interval, the sec-
	      ond field is the average range of values from the time series in
	      that interval, and the third field is the average standard devi-
	      ation of values from the time series in that interval.

       -m     Precision mode, (computationally inefficient.)

       -p     Don't output the time series, only the Hurst coefficients.

       -r     Specifies that logarithmic returns will be used, instead of lin-
	      ear returns.

       -v     Print the version and copyright banner of the program.

       filename
	      Input filename.

WARNINGS
       There is little or no provision for handling numerical exceptions.

SEE ALSO
       tsderivative(1),   tshcalc(1),	tshurst(1),  tsintegrate(1),  tslogre-
       turns(1), tslsq(1),  tsnormal(1),  tsshannon(1),  tsblack(1),  tsbrown-
       ian(1), tsdlogistic(1), tsfBm(1), tsfractional(1), tsgaussian(1), tsin-
       tegers(1), tslogistic(1), tspink(1), tsunfairfractional(1), tswhite(1),
       tscoin(1),    tsunfairbrownian(1),    tsfraction(1),   tsshannonmax(1),
       tschangewager(1),   tssample(1),   tsrms(1),   tscoins(1),    tsavg(1),
       tsXsquared(1),  tsstockwager(1),  tsshannonwindow(1), tsmath(1), tsavg-
       window(1),  tspole(1),  tsdft(1),  tsbinomial(1),   tsdeterministic(1),
       tsnumber(1),	tsrmswindow(1),     tsshannonstock(1),	  tsmarket(1),
       tsstock(1), tsstatest(1), tsunfraction(1), tsshannonaggregate(1), tsin-
       stant(1),   tsshannonvolume(1),	tsstocks(1),  tsshannonfundamental(1),
       tstrade(1),  tstradesim(1),  tsrunlength(1),  tsunshannon(1),   tsroot-
       mean(1), tsrunmagnitude(1), tskurtosis(1), tskurtosiswindow(1), tsroot-
       meanscale(1),	tsscalederivative(1),	 tsgain(1),    tsgainwindow(1)
       tscauchy(1), tslognormal(1), tskalman(1), tsroot(1), tslaplacian(1)

DIAGNOSTICS
       Error  messages for incompatible arguments, failure to allocate memory,
       inaccessible files, and opening and closing files.

AUTHORS
       ----------------------------------------------------------------------

       A license is hereby granted to reproduce this software source code and
       to create executable versions from this source code for personal,
       non-commercial use.  The copyright notice included with the software
       must be maintained in all copies produced.

       THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES
       WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF
       MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE.  THE
       AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE
       INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY.

       Copyright (c) 1994-2006, John Conover, All Rights Reserved.

       Comments and/or bug reports should be addressed to:

	   john@email.johncon.com (John Conover)

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			       January 17, 2006 		    TSHURST(1)