Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets
Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets
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DOI：
10.1016/j.physa.2008.03.035
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发表时间：
2008-07-15
影响因子：
3.3
通讯作者：
Jung, Woo-Sung
中科院分区：
文献类型：
--
作者：
Eom, Cheojun;Choi, Sunghoon;Jung, Woo-Sung
我们在金融时间序列数据中实证考察了效率程度与可预测性之间的关系。以赫斯特指数作为效率程度的度量，用最近邻预测法计算出的命中率来预测未来价格变动的方向。我们使用了不同国家的60个市场指数。我们实证发现，效率程度(赫斯特指数)与可预测性(命中率)之间存在很强的正相关关系。也就是说，赫斯特指数越高的市场指数往往命中率越高。这些结果表明，赫斯特指数对预测未来的价格变化是有用的。此外，我们还发现，赫斯特指数和命中率是区分新兴资本市场和成熟资本市场的有用标准。(C)2008爱思唯尔B.V.保留所有权利。
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated from the nearest-neighbor prediction method was used for the prediction of the directions of future price changes. We used 60 market indexes of various countries. We empirically discovered that the relationship between the degree of efficiency (the Hurst exponent) and the predictability (the hit rate) is strongly positive. That is, a market index with a higher Hurst exponent tends to have a higher hit rate. These results suggested that the Hurst exponent is useful for predicting future price changes. Furthermore, we also discovered that the Hurst exponent and the hit rate are useful as standards that can distinguish emerging capital markets from mature capital markets. (C) 2008 Elsevier B.V. All rights reserved.