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Hurst exponent and prediction based on weak-form efficient market hypothesis of stock markets

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  1. Wang, Yuanyuan & Shang, Pengjian, 2018. "A new measurement of financial time irreversibility based on information measures method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 221-230.
  2. Zapart, Christopher A., 2009. "On entropy, financial markets and minority games," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(7), pages 1157-1172.
  3. Siew Ann Cheong, 2013. "Econophysics: An Experimental Course for Advanced Undergraduates in the Nanyang Technological University," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 79-99, July.
  4. Zunino, Luciano & Tabak, Benjamin M. & Serinaldi, Francesco & Zanin, Massimiliano & Pérez, Darío G. & Rosso, Osvaldo A., 2011. "Commodity predictability analysis with a permutation information theory approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(5), pages 876-890.
  5. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
  6. Un, Kuok Sin & Ausloos, Marcel, 2022. "Equity premium prediction: Taking into account the role of long, even asymmetric, swings in stock market behavior," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 608(P1).
  7. Benjamin R Auer, 2016. "Pure return persistence, Hurst exponents and hedge fund selection – A practical note," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 319-330, September.
  8. Josselin Garnier & Knut Solna, 2018. "Chaos and Order in the Bitcoin Market," Papers 1809.08403, arXiv.org, revised Apr 2019.
  9. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 41-54.
  10. Li, Daye & Nishimura, Yusaku & Men, Ming, 2016. "The long memory and the transaction cost in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 312-320.
  11. Stefán B. Gunnlaugsson, 2018. "Trading Rules On A Small Stock Market," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 46-55, March.
  12. Juan Benjamín Duarte Duarte & Juan Manuel Mascare?nas Pérez-Iñigo, 2014. "Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos," Estudios Gerenciales, Universidad Icesi, November.
  13. Horta, Paulo & Lagoa, Sérgio & Martins, Luís, 2014. "The impact of the 2008 and 2010 financial crises on the Hurst exponents of international stock markets: Implications for efficiency and contagion," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 140-153.
  14. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
  15. Mulligan, Robert F., 2017. "The multifractal character of capacity utilization over the business cycle: An application of Hurst signature analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 147-152.
  16. Avci-Surucu, Ezgi & Aydogan, A. Kursat & Akgul, Doganbey, 2016. "Bidding structure, market efficiency and persistence in a multi-time tariff setting," Energy Economics, Elsevier, vol. 54(C), pages 77-87.
  17. Benjamin Rainer Auer, 2018. "Are standard asset pricing factors long-range dependent?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(1), pages 66-88, January.
  18. Ibarra-Valdez, C. & Alvarez, J. & Alvarez-Ramirez, J., 2016. "Randomness confidence bands of fractal scaling exponents for financial price returns," Chaos, Solitons & Fractals, Elsevier, vol. 83(C), pages 119-124.
  19. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Papers 2105.09140, arXiv.org, revised Sep 2021.
  20. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey & Peter G. Szilagyi, 2013. "The structure of gold and silver spread returns," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 561-570, March.
  21. Hosseiny, Ali & Gallegati, Mauro, 2017. "Role of intensive and extensive variables in a soup of firms in economy to address long run prices and aggregate data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 51-59.
  22. Kostanjcar, Zvonko & Jeren, Branko & Juretic, Zeljan, 2012. "Impact of uncertainty in expected return estimation on stock price volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5563-5571.
  23. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 11-14.
  24. Abounoori, Esmaiel & Shahrazi, Mahdi & Rasekhi, Saeed, 2012. "An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3170-3179.
  25. Aditi Singh & Madhumita Chakraborty, 2017. "Examining Efficiencies of Indian ADRs and their Underlying Stocks," Global Business Review, International Management Institute, vol. 18(1), pages 144-162, February.
  26. Jang, Hanwool & Song, Yena & Ahn, Kwangwon, 2020. "Can government stabilize the housing market? The evidence from South Korea," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  27. Alvarez-Ramirez, Jose & Rodriguez, Eduardo, 2021. "A singular value decomposition entropy approach for testing stock market efficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 583(C).
  28. Ioan Roxana, 2020. "Capital Market Correlations Structure During The Covid-19 Crisis," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 6, pages 67-79, December.
  29. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
  30. Pakrashi, Vikram & Kelly, Joe & Harkin, Julie & Farrell, Aidan, 2013. "Hurst exponent footprints from activities on a large structural system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(8), pages 1803-1817.
  31. Argyroudis, George S. & Siokis, Fotios M., 2019. "Spillover effects of Great Recession on Hong-Kong’s Real Estate Market: An analysis based on Causality Plane and Tsallis Curves of Complexity–Entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 576-586.
  32. Juan Benjamín Duarte Duarte & Juan Manuel Mascareñas Pérez-Iñigo, 2014. "¿Han sido los mercados bursátiles eficientes informacionalmente?," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, June.
  33. Hayat, Farah & Pirzada, Muhammad Daniel Saeed & Khan, Abid Ali, 2018. "The validation of Granger causality through formulation and use of finance-growth-energy indexes," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P2), pages 1859-1867.
  34. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2009. "Forbidden patterns, permutation entropy and stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2854-2864.
  35. Matthieu Garcin, 2021. "Forecasting with fractional Brownian motion: a financial perspective," Working Papers hal-03230167, HAL.
  36. Bill McKelvey & Benyamin B. Lichtenstein & Pierpaolo Andriani, 2012. "When organisations and ecosystems interact: toward a law of requisite fractality in firms," International Journal of Complexity in Leadership and Management, Inderscience Enterprises Ltd, vol. 2(1/2), pages 104-136.
  37. Delbianco, Fernando & Tohmé, Fernando & Stosic, Tatijana & Stosic, Borko, 2016. "Multifractal behavior of commodity markets: Fuel versus non-fuel products," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 573-580.
  38. Gu, Rongbao & Shao, Yanmin & Wang, Qingnan, 2013. "Is the efficiency of stock market correlated with multifractality? An evidence from the Shanghai stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(2), pages 361-370.
  39. Boryana Bogdanova & Ivan Ivanov, 2016. "A wavelet-based approach to the analysis and modelling of financial time series exhibiting strong long-range dependence: the case of Southeast Europe," Journal of Applied Statistics, Taylor & Francis Journals, vol. 43(4), pages 655-673, March.
  40. Doucoure, Boubacar & Agbossou, Kodjo & Cardenas, Alben, 2016. "Time series prediction using artificial wavelet neural network and multi-resolution analysis: Application to wind speed data," Renewable Energy, Elsevier, vol. 92(C), pages 202-211.
  41. Juan Benjamin Duarte Duarte & Katherine Julieth Sierra Suarez & Juan Manuel Mascarenas Perez-Inigo, 2014. "Evaluation Of Long-Term Memory In Colombian Stock Market By Hurst Coefficient, Evaluacion De La Memoria De Largo Plazo Del Mercado Bursatil Colombiano Mediante El Coeficiente De Hurst," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(4), pages 1-10.
  42. Mr. M. Awais Mehmood & Dr. Faisal Aftab & Dr. Hafiz Mushtaq, 2016. "Role Of Social Media Marketing (Smm) In Hei’S Admission," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 12(1), pages 12-10.
  43. Garnier, Josselin & Solna, Knut, 2019. "Chaos and order in the bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 708-721.
  44. Siokis, Fotios M., 2018. "Credit market Jitters in the course of the financial crisis: A permutation entropy approach in measuring informational efficiency in financial assets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 266-275.
  45. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.
  46. Choi, Insu & Lee, Myounggu & Kim, Hyejin & Kim, Woo Chang, 2023. "Elucidating Directed Statistical Dependencies: Investigating Global Financial Market Indices' Influence on Korean Short Selling Activities," Pacific-Basin Finance Journal, Elsevier, vol. 79(C).
  47. Mulligan, Robert F., 2014. "Multifractality of sectoral price indices: Hurst signature analysis of Cantillon effects in disequilibrium factor markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 252-264.
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