Unveiling market turning points: Analysing skewness, kurtosis and Hurst exponent in intraday data

Clemens Kownatzki and Jungjun Park
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Clemens Kownatzki: Pepperdine Graziadio Business School, USA

Journal of Risk Management in Financial Institutions, 2025, vol. 18, issue 2, 149-170

Abstract: Predicting major turning points in the market has often been dismissed as a fool’s errand, and yet, there is no shortage of practitioners or researchers attempting to do so. This paper offers such an attempt, as it examines intraday market dynamics during significant reversals using skewness, kurtosis and the Hurst exponent as primary variables of interest. The paper analyses minute-by-minute data of the S&P 500 (SPX) and NASDAQ 100 (NDX), with the goal of identifying patterns that precede market peaks and troughs. Focusing on specific periods during the COVID-19 pandemic and the great financial crisis (GFC), the findings of this study reveal that during market tops, skewness becomes more negative, kurtosis increases and the Hurst exponent is trending upwards. The exact opposite trends were observed just before a market bottom. These results provide valuable insights and a good analysis framework to better understand market dynamics at a high-frequency level. The paper also proposes numerous extensions for further research to transform these observations into actionable strategies for investors as well as risk managers.

Keywords: market reversals; risk management; risk models; high-frequency data (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2025
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