thanks a lot, Zub, for your useful improvement - it runs! (for other aspects, like range, validity a.s.o., no worry, I take care)thanks also, Qwartz, but I'm not so happy with the heavy anf lengthy way of Microsoft servicing....Alain

I have heared about Excel function NORMSIN(RAND()) to generate so-called "random" numbers (with a limited quality, ok): my Excel 2003 do not "understand" this function: is there any trick ? or the function is not correctly labelled?Thanks for helpARhedge fund asset manager

<t>the information given by HURST coefficient is presumably depending on its related confidence interval. I suppose such a confidence interval is mostly depending on the lenght of the time series data, like standard deviation (which is involved into the Hurst coeff calculation), not to mention possi...

<t>During this summer, I have hired a student which gives me a very top service. This guy ends by next year a Master in Intl Management in Université de Louvain (Belgium), after a 6-month course in Bocconi (Milano). His thesis is on M&A, and he is looking for a 2-month internship in an M&A d...

A long time ago, I looked to Hurst coeff determination, and it was- and it is still, I presume - just bullshit: at that time, the number of past data used for computung the coeff was max 250, which is far to small to give any significative result (see also answer from JamesH83).

<t>Agreed. The question is, with Markovian switching, the transition is actually defined by a distribution probability, saying (for 2 sub-processes) "there is a p proba to go to sub-process 1 and (1-p) proba going to sub-process 2, with respect to a (Gaussian or not) distribution probability". I won...

<t>T o raise up further (useful) comments:When I talk about possible "non-Markov" switching models, I mean (in my view) : (double or multiple) switching models involve, first, a set of minimum 2 stochastic models, with their specific parameters; the "switching" is then modelized, to fit with specifi...

<t>As far as I know, switching models are Markovian. But can somebody provide me with paper references - if any - about non-Markov switching models which would have been developed in the financial markets area ? I suppose it could exist, e.g. for high frequency dataBy the way, chartism(technical ana...