Eom, Cheoljun; Choi, Sunghoon; Oh, Gabjin; Jung, Woo-Sung - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 18, pp. 4630-4636
-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated from the … 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 …