### DESCRIPTION ###

This .zip archive consists of 3 files:
a)	"implied_hurst.R": main code
b)	"functions.R": supplementary functions
c)	"readme.txt"

The main code itself consists of 4 sections:
(I)   computation of option-implied Hurst exponents
(II)  computation of historical Hurst exponents
(III) surrogate analysis: S&P 500 as if there was a constant Hurst Exponent (i.e., no multi-fractality)
(IV)  investment examples


### DATA ###

Input data used are:
a) Model-free option-implied variance. 
   Source: Grigory Vilkov’s repository, https://doi.org/10.17605/OSF.IO/Z2486
b) Adjusted closing prices for the S&P 500 index (SPX) and the SPDR S&P 500 ETF (SPY).
   Source: Refinitiv Datastream (now LSEG Datastream)
c) 1-Month T-Bill rate.
   Source: Kenneth R. French’s data library, https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html
Authors do not have permission to share this data directly. However, data a) and c) are available as open access.
