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Rescaled Range Analysis: A Method for Detecting Persistence, Randomness, or Mean Reversion in Financial Markets

Rescaled Range Analysis: A Method for Detecting Persistence, Randomness, or Mean Reversion in Financial Markets

by Jason Apollo Voss | 30 01 2013 | Best of the Blog, Blog

Editor’s note: Thanks to the diligence of Armin Grueneich this post has been amended to reflect the addition of step #5, below, in the calculation of the rescaled range. Rescaled range analysis is a statistical technique designed to assess the nature and...
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