Is Hurst Exponent Value Useful in Forecasting Financial Time Series?

S. K. Mitra

Abstract


We estimated Hurst exponent of twelve stock index series from across the glove using daily values of for past ten years and found that the Hurst exponent value of the full series is around 0.50 confirming market efficiency. But the Hurst exponent value is found to vary widely when the full series is split into smaller series of 60 trading days. Later, we tried to find relationship between Hurst exponent value and profitable trading opportunity from these smaller series and found that periods displaying high Hurst exponent have potential to yield better trading profits from a moving average trading rule.

Full Text: PDF DOI: 10.5539/ass.v8n8p111

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Asian Social Science   ISSN 1911-2017 (Print)   ISSN 1911-2025 (Online)

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