Evaluation of impact of Hurst exponent value on effectiveness of investment strategies based on technical analysis

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Published:
Oct 21, 2006
Issue
No. 60 (2006)
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Artykuły
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Edyta Marcinkiewicz
Katedra Zarządzania, Wydział Organizacji i Zarządzania Politechniki Łódzkiej

DOI: https://doi.org/10.22630/EIOGZ.2006.60.44
Keywords : Hurst exponent, R/S analysis, technical analysis, capital markets
Abstract
In the paper an attempt to employ Hurst exponent (H) was made in order to investigate whether there are trends on capital market and whether H can influence the effectiveness of technical analysis tools. Eight time series of rate of returns were examined - WIG20, CAC40, DAX, DJIA, S&P500, NIKK225, NASDAQ, EUR/USD - and for each H was calculated. The further step was to investigate technical analysis trading rules, which were supposed to bring good investment results in terms of ternds on capital market. The mean returns gained using technical analysis indicators in case of each of eight time series were compared to Hurst exponent value

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How to Cite
Marcinkiewicz, E. (2006). Evaluation of impact of Hurst exponent value on effectiveness of investment strategies based on technical analysis. Zeszyty Naukowe SGGW - Ekonomika I Organizacja Gospodarki Żywnościowej, (60), 231–239. https://doi.org/10.22630/EIOGZ.2006.60.44
References

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