|
PureBytes Links
Trading Reference Links
|
Is anybody willing to share his Easy Language (EL) code for calculation
of Hurst Exponent (H) ?
Is anybody willing to share his trading experiences using H ?
H is available in real-time on Bloomberg terminals (see [5], page 57),
H is defined in [5], page 119, and trading results are presented in [5], page
149.
Regards, DC
More Notes:
- References [5], [6], [7], and [8], are among the most provocative
financial book in recent years introducing a new theory of markets
based on Mathematical Chaos, Complexity Theory and Fractal Geometry.
These book demonstrates that certain "persistence" and "bias" exists
in markets, and prices are not random, they are nonlinear. It is possible
to make money by timing the market. Mechanical system traders know
this fact for many years.
- New "Fractal Market Hypothesis (FMH)" (introduced by Peters in {8])
is a complex field requiring several year to master it. Where to start?
Start with Hurst (see [9] for origins).
- The Nile river in Egypt has historical flood records going back to
biblical times. Hurst, the celebrated British hydrologist, studied these
records in Cairo in 1930, and came with a new statistical method named
after him for distinguishing random and nonrandom systems. A key
parameter is called Hurst exponent (H), and method is called R/S Analysis
(Rescaled Range). The persistence of trend exists in many phenomena
including equity and derivatives markets.
- For example, white noise, which has no persistence, has H = -0.5, brown
noise, which has persistence, has H = 0.5, water-flow statistics for Rhine
river at Basel, H = 0.5, and Nile river, H = 0.91. One of best persistent
markets are currency markets, for example, Yen/Dollar exchange rate has
H = 0.64.
REFERENCES:
B. Fractal Market Hypothesis (FMH)
[5] Christopher T. May, "Nonlinear Pricing", John Wiley & Sons, Inc. 1999
[6] Manfred Schroeder, "Fractals, Chaos, Power laws", W.H. Freeman and
Company, 1991
[7] Edgar E. Peters, "Fractal Market Analysis", John Wiley & Sons, Inc.,
1994
[8] Edgar E. Peters, "Chaos and Order in the Capital Markets", John Wiley &
Sons, Inc., 1996
C. Hurst Exponent
[9] Harold Edwin Hurst, "Long-Term Storage, An Experimental Study",
Constable & Co. Ltd, London, 1965
|