Hurst指数与R/S（python代码）

-- coding: utf-8 --

"""
Created on Mon Oct 31 21:39:30 2016

@author: Administrator
"""
import numpy as np
x=data
data2=[]
for i in range(1,len(x)):
data1= x[i] - x[i-1]
data2.append(data1)

mdata=[]
for i in range(len(data2)):
m=np.mean(data2[:i+1])
mdata.append(m)

r=[]
for i in range(len(mdata)):
print('.......')
c=[]
b=[]
for j in range(0,i+1):
p=data2[j]-mdata[i]
c.append(p)
print(c)
b.append(np.cumsum(c)[-1])
r.append(max(b)-min(b))

sdata=[]

for i in range(len(data2)):
std=np.std(data2[:i+1])
sdata.append(std)
v = list(map(lambda x: x[0]/x[1], zip(r, sdata)))
rs=np.log(v)

t=np.array(range(1,11))/2
g=np.polyfit(np.log(t)[1:],rs[1:],1)
rt=pow(2,(2*g[0]-1))-1