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ON THE UTILITY OF THE HURST EXPONENT IN PREDICTING FUTURE CRISES

Tom Coen, Gianluca Piovani, Giuseppe Torluccio

DOI: 10.22495/cocv10i1c2art7

Abstract

The aim of this article is to ascertain whether and to what extent the Hurst exponent can be used to forecast future crises. The first and second sections focus on the Hurst exponent, giving theoretical insights and a summary of its uses in finance. The analysis of a dataset of 35 indices and stocks representing various geographical areas and economic sectors is presented in Section 3, while in the last section the conclusion is drawn that in fact the Hurst exponent has, after all, no usefulness in predicting future crises.

Keywords: Crises, Hurst Exponent, Crisis Detection

How to cite this paper: Coen, T., Piovani, G., & Torluccio, G. (2012). On the utility of the hurst exponent in predicting future crises. Corporate Ownership & Control, 10(1-2), 291-308. http://doi.org/10.22495/cocv10i1c2art7

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