This blog post is an humble attempt at implementing a momentum strategy using a lesser-known metric, the Hurst exponent

In this post we will make a theorical review of several Hurst exponent estimators from the litterature.

The aim of this project is to study and benchmark the performance of the "Optimal Particle Filter" introduced by Fanaso and al. in 2021, with the well-known Bootstrap Filter algorithm.

Let's explore a Bayesian framework enhanced by Monte Carlo simulation methods and hidden Markov chains for time series clustering.