Hurst Exponent and Trading Signals Derived from Market Time Series

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Hurst Exponent and Trading Signals Derived from Market Time Series

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Hurst Exponent and Trading Signals Derived from Market Time Series

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

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

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

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

Název statě ve sborníku

ICEIS 2018 Proceedings

ISBN

978-989-758-298-1

ISSN

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e-ISSN

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Počet stran výsledku

8

Strana od-do

371-378

Název nakladatele

SciTePress

Místo vydání

Madeira

Místo konání akce

Funchal, Madeira

Datum konání akce

21. 3. 2018

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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