Application of the Hurst exponent for the stock prices forecasting in investment systems management
Sizykh D., Sizykh N.
In the carried out research is confirmed that the application of the Hurst exponent in forecasting the time series of stock prices and stability of trend can improve forecasting results, but it is possible only in the short-term time period. The Hurst exponent can be used as an additional indicator (data risk in forecasting) and can improve forecast data reliability in the large-scale investment systems.
, International Research Journal of Finance and Economics 2012 No. 100 P. 12-18
The paper introduces the idea of using fractals for stylized facts modelling. Since the behavior of financial markets is hard to predict, there have appeared new financial assets models, based, first of all, on empirically revealed properties or stylized empirical facts. We have found the correspondence between four types of fractals and four main empirical ...
Added: November 6, 2012
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Added: October 21, 2018
, , , in : 2022 15th International Conference Management of large-scale system development (MLSD). : M. : IEEE, 2022. P. 1-5.
The possibility of increasing the accuracy of forecasting stock prices by using the Hurst exponent as an additional indicator to modern forecasting methods. It was obtained confirmation of the effectiveness of the Hurst exponent application as an additional instrument for risk assessment, which allows to improve the reliability of the forecast data in large-scale investment ...
Added: November 14, 2022
, , , , in : 2022 15th International Conference Management of large-scale system development (MLSD). : M. : IEEE, 2022. P. 1-6.
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Added: November 14, 2022
Research of the stock exchange features concerning their influence on stock quotes of companies from the various sectors
, , , in : 2021 14th International Conference Management of large-scale system development (MLSD). : IEEE, 2021. P. 1-4.
It was analyzed the influence of stock exchanges on stock quotes of the automotive, energy and telecommunication companies. It was obtained comparative assessment of the profitability, risk and stability indicator of shares placed on different stock exchanges. ...
Added: February 4, 2022