Thanks to aiQUANT for his post on the Hurst Exponent. A copy of the paper he references is available here.

I tried to reproduce the results in excel but ran into a roadblock, mostly in understanding the log transformation. I wasn’t able to access the link referenced in the paper, but aiQUANT mentioned that there is a file on the Mathworks website, so I will check that out.

[Update1]
Bear Cave, I think a site[article] maintained[penned] by the author of the referenced Hurst paper, has a page about the Hurst exponent and its calculation. That information is available here.

Qian’s site also has the MATLAB code for the calculation. You can access the MATLAB file here.

I redid some of the calculations in the excel file, and now my results have narrowed the gap when compared to those presented in the original paper. I think I am messing up on the log transformation of R/S. I will look at the MATLAB code and see… right now I think I have the exponent estimated at around .59.