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Forecasting VIX with Hurst Exponent

, 2022
The VIX is a proxy for the implied volatility, computed con- sidering Standard & Poor’s 500 Index data. It widely regarded as a mea- sure of turbulence in U.S. and global financial markets. Hence, forecasting the VIX is essential for both portfolio managers and policy makers.
Bianchi Sergio, Mattera Raffaele, Di Sciorio Fabrizio   +2 more
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Introducing Hurst exponent in pair trading

Physica A: Statistical Mechanics and Its Applications, 2017
Abstract In this paper we introduce a new methodology for pair trading. This new method is based on the calculation of the Hurst exponent of a pair. Our approach is inspired by the classical concepts of co-integration and mean reversion but joined under a unique strategy. We will show how Hurst approach presents better results than classical Distance
M A Sánchez-Granero
exaly   +3 more sources

Pairs trading using Hurst exponent

, 2020
The study documented in this thesis uses the method called ‘detrended fluctuation analysis (DFA)' to examine the relationship between the companies listed on Standard and Poor (S&P)'s Australian Securities Exchange (ASX) 200 using ten years of data from 2010–2019.
Abhay Kulkarni (13190868)
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Correlation between Hurst exponent and largest Lyapunov exponent on a coupled map lattice [PDF]

Physica A: Statistical Mechanics and Its Applications
Positive correlations have been made between the Hurst exponent and the largest Lyapunov exponent using various one-dimensional maps by other authors.
Anna McAllister
exaly   +2 more sources

Estimation of Hurst exponent revisited

Computational Statistics & Data Analysis, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jan Mielniczuk, Piotr Wojdyllo
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HURST EXPONENTS IN FUTURES EXCHANGE MARKETS

International Journal of Modern Physics C, 2006
The dynamical behavior of the Korean treasury bond (KTB) futures is investigated using a modified rescaled range (R/S) analysis. Lo's modified R/S analysis as well as classical Hurst's R/S statistics are utilized in order to analyze tick data of KTB futures. The Hurst exponent can be estimated by both classical and modified R/S statistics.
Kim, K, Kim, SY Kim, Soo Yong, Lee, M, Yum, MK   +3 more
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Bayesian Approach to Hurst Exponent Estimation

Methodology and Computing in Applied Probability, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dlask, Martin, Kukal, Jaromir, Vysata, Oldrich   +2 more
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Factors of Hurst Exponent

SSRN Electronic Journal, 2013
Under the Fractal Theory research, a stock with high Hurst Exponent shall have high autocorrelation for the share price and we should use trend following investment method to profit from the stock trend. On the other hand, if a stock is with low Hurst Exponent, this means that the stock price shall have low autocorrelation and we should use the range ...
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The Hurst Exponent of Precipitation

SSRN Electronic Journal, 2015
Rescaled range analysis of precipitation in the sample period 1893-2014 for ten USHCN stations in five states of the USA does not provide evidence of dependence, long term memory, or persistence in the time series. All of the observed Hurst exponents of precipitation are indicative of Gaussian randomness.
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