Can One Make Any Crash Prediction in Finance Using the Local Hurst Exponent Idea?

D. Grech and Z. Mazur
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D. Grech: Inst. Ther. Phys. Wroclaw Univ.
Z. Mazur: Inst. Exper.Phys. Wroclaw Univ.

Papers from arXiv.org

Abstract: We apply the Hurst exponent idea for investigation of DJIA index time-series data. The behavior of the local Hurst exponent prior to drastic changes in financial series signal is analyzed. The optimal length of the time-window over which this exponent can be calculated in order to make some meaningful predictions is discussed. Our prediction hypothesis is verified with examples of '29 and '87 crashes, as well as with more recent phenomena in stock market from the period 1995-2003.Some interesting agreements are found.

Date: 2003-11
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Citations: View citations in EconPapers (2)

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