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Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices

S.K. Mitra and Jaslene Bawa

Physica A: Statistical Mechanics and its Applications, 2017, vol. 469, issue C, 124-135

Abstract: In this study, we explore the possibility of generating trade opportunities and returns when a financial stock index series is trend persistent. Through application of Hurst coefficient based on the modified range to standard deviation analysis (Weron, 2002) in a sample of 31 leading global indices during the period December 2000 to November 2015, we found periods of trend persistence. We developed and tested a set of trading strategies on these periods of trend persistent in the financial series and found that significant positive returns can be generated when a series displayed upward trend persistence.

Keywords: Hurst exponent; Long memory; Trend persistence; Trading profits; Stock indices (search for similar items in EconPapers)
Date: 2017
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Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

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Handle: RePEc:eee:phsmap:v:469:y:2017:i:c:p:124-135