Rescaled Range Analysis

Dictionary Says

Definition of 'Rescaled Range Analysis'


A statistical analysis of a time-series of financial data that attempts to find patterns that might repeat in the future. While rescaled-range analysis techniques have proved useful in other mathematical endeavors, the evidence for its use in analyzing financial data remains somewhat unproven. There are two main variables used in this technique – the range of the data (as measured by the highest and lowest values in the time period), and the standard deviation of the data. A derivative of this mathematical result is known as a Hurst exponent; if a trend actually exists in the data, this Hurst exponent can extrapolate a future value or average for the data point.

Investopedia Says

Investopedia explains 'Rescaled Range Analysis'


The desire to predict patterns in financial data (especially asset prices) is as old as the history of data itself. What makes the search so appealing is that stock market history does show cyclicality, albeit in a non-periodic way. Business cycle lengths seem to keep showing up in periods of four to five years, although nobody can explain why.

comments powered by Disqus
Hot Definitions
  1. Legal Monopoly

    A company that is operating as a monopoly under a government mandate. A legal monopoly offers a specific product or service at a regulated price and can either be independently run and government regulated, or government run and regulated.
  2. Closed-End Fund

    A closed-end fund is a publicly traded investment company that raises a fixed amount of capital through an initial public offering (IPO). The fund is then structured, listed and traded like a stock on a stock exchange.
  3. Payday Loan

    A type of short-term borrowing where an individual borrows a small amount at a very high rate of interest. The borrower typically writes a post-dated personal check in the amount they wish to borrow plus a fee in exchange for cash.
  4. Securitization

    The process through which an issuer creates a financial instrument by combining other financial assets and then marketing different tiers of the repackaged instruments to investors.
  5. Economic Forecasting

    The process of attempting to predict the future condition of the economy. This involves the use of statistical models utilizing variables sometimes called indicators.
  6. Chicago Mercantile Exchange - CME

    The world's second-largest exchange for futures and options on futures and the largest in the U.S. Trading involves mostly futures on interest rates, currency, equities, stock indices and agricultural products.
Trading Center