Joseph Effect

Joseph Effect

The tendency for persistent time series (0.50<H<1.00), to have trends and cycles. The term "Joseph Effect" was coined by Mandelbrot in reference to Joseph's interpretation of Pharaoh's dream of seven fat years followed by seven lean years.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Joseph Effect

The concept that any movement in a given time series is more likely to be part of a trend than it is to be random. The extent to which a phenomenon is a Joseph effect is quantified on the Hurst component, which is measured between 0 and 1. A Hurst reading of more than 0.5 indicates that a movement is less random and therefore more likely to be a Joseph effect. The term comes from the Old Testament story in which Joseph predicted seven years of plenty followed by seven years of famine.
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