Short Term Trading Model for Asian Equity Index Futures – Using Hurst Exponent

Autor:	Ritabrata Bhattacharyya, Ashwin Dudia, Vivek Kumar
Rok vydání:	2020
Předmět:	Hurst exponent Research community Econometrics Economics Market price Equity (finance) Trading strategy Random walk Futures contract Short-term trading
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3543079
Popis:	The three-broad behaviour of market prices: trending, mean-reversion and random walk can be studied using the Hurst exponent. The goal of this paper is to develop a comprehensive trading strategy for Asian Equity Index Futures by making use of Hurst exponent of the price series. This paper presents research on usages of Moving Hurst Exponent along with other well-known trading indicators to develop a complete short-term trading strategy and trading strategy evaluation experience which the academic and research community can build on.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::ca3e76d9952e84e999808a508da5012c https://doi.org/10.2139/ssrn.3543079 Zobrazit plný text záznamu