On the Utility of the Hurst exponent in predicting coming crises

• Autores: Tom Coen, Gianluca Piovani, Giuseppe Torluccio
• Localización: Optimización-Estocástica-Recursiva-Coherente-Sistémica y sus variantes (probabilidad, econometría y estadística aplicada) / coord. por María Ramos, Fernando Miranda Torrado, 2012, ISBN 978-607-00-5902-5, págs. 510-537
• Idioma: inglés
• Enlaces
  • Texto Completo Libro (pdf)
• Resumen

  • The aim of this article is to ascertain if and to what extent the Hurst exponent can be used to forecast coming crises. The first and second chapter focuses on the Hurst exponent, giving theoretical insights and a synthesis of its uses in finance. The analysis of a dataset of 35 indices and stocks representing various different geografical areas and economical sectos is presented in chapter 3 while in the last chapter the conclsion that the Hurst exponent has eventually no connection with coming crises is drawn.