HURST EXPONENT AND FINANCIAL MARKET PREDICTABILITY

HURST EXPONENT AND FINANCIAL MARKET PREDICTABILITY (2007)

by Bo Qian, et al.

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Datum	Value	Source
TITLE	HURST EXPONENT AND FINANCIAL MARKET PREDICTABILITY	SVM HeaderParse 0.2
AUTHOR NAME	Bo Qian, et al.	user correction
ABSTRACT	The Hurst exponent (H) is a statistical measure used to classify time series. H=0.5 indicates a random series while H>0.5 indicates a trend reinforcing series. The larger the H value is, the stronger trend. In this paper we investigate the use of the Hurst exponent to classify series of financial data representing different periods of time. Experiments with backpropagation Neural Networks show that series with large Hurst exponent can be predicted more accurately than those series with H value close to 0.50. Thus Hurst exponent provides a measure for predictability.	SVM HeaderParse 0.2
YEAR	2007	user correction
CITATIONS	22 found	ParsCit 1.0