Hurst Exponent and Trading Signals Derived from Market Time Series

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21240%2F18%3A00321111" target="_blank" >RIV/68407700:21240/18:00321111 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Hurst Exponent and Trading Signals Derived from Market Time Series

Original language description

In this contribution, we investigate whether it is possible to use chaotic properties of time series in forecasting. Time series of market data have components of white noise without any trend, and they have components of brown noise containing trends. We constructed a new technical indicator MH (Moving Hurst) based on Hurst exponent that describes chaotic properties of time series. Further, we stated and proved a hypothesis that this indicator can bring more profit than the very well known indicator MACD (Moving Averages Convergence Divergence) that is based on moving averages of time series values. In our experiments, we tested and eva- luated our proposal using hypothesis testing. We argue that Hurst exponent can be used as an indicator of technical analysis under considerations discussed in our paper.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2018

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

ICEIS 2018 Proceedings

ISBN

978-989-758-298-1

ISSN

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e-ISSN

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Number of pages

8

Pages from-to

371-378

Publisher name

SciTePress

Place of publication

Madeira

Event location

Funchal, Madeira

Event date

Mar 21, 2018

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

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