Can trade opportunities and returns be generated in a trend persistent series? Evidence from global indices
S.K. Mitra and
Physica A: Statistical Mechanics and its Applications, 2017, vol. 469, issue C, 124-135
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:469:y:2017:i:c:p:124-135
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