1 def Hurst(data): 2     n = 6 3     data = pd.Series(data).pct_change()[1:] 4     ARS = list() 5     lag = list() 6     for i in range(n): 7         m = 2 ** i 8         size = np.size(data) // m 9         lag.append(size)10         panel = {}11         for j in range(m):12             panel[str(j)] = data[j*size:(j+1)*size].values13             14         panel = pd.DataFrame(panel)15         mean = panel.mean()16         Deviation = (panel - mean).cumsum()17         maxi = Deviation.max()18         mini = Deviation.min()19         sigma = panel.std()20         RS = maxi - mini21         RS = RS / sigma22         ARS.append(RS.mean())23         24     lag = np.log10(lag)25     ARS = np.log10(ARS)26     hurst_exponent = np.polyfit(lag, ARS, 1)27     hurst = hurst_exponent[0]28     29     return hurst