The Predictability of Stock Market Indices with Constant Hurst

2011
Andrejs Pučkovs

The purpose of this research is to identify the interdependence of the stability of the time series and its future values. The object of the study was the oldest U.S. market index - the Dow - DJIA (Dow Jones Industrial Average). During the experiment, we used data for the period from October 1, 1928 to July 7, 2011.

Keywords
Predictability, Stock market, Hurst indicator
Hyperlink
http://jurnal.org/articles/2011/ekon27.html

Pučkovs, A. The Predictability of Stock Market Indices with Constant Hurst. The Humanities and Social Sciences / Humanitārās un sociālās zinātnes, 2011, No. 8, pp.5-10. ISSN 1991-3087.

Publication language
Russian (ru)