Patterns in the Chaos: The Moving Hurst Indicator and Its Role in Indian Market Volatility

Estimating the impact of volatility in financial markets is challenging due to complex dynamics, including random fluctuations involving white noise and trend components involving brown noise. In this study, we explore the potential of leveraging the chaotic properties of time series data for improved accuracy. Specifically, we introduce a novel trading strategy based on a technical indicator, Moving Hurst (MH). MH utilizes the Hurst exponent which characterizes the chaotic properties of time series. We hypothesize and then prove empirically that MH outperforms traditional indicators like Moving Averages (MA) in analyzing Indian equity indices and capturing profitable trading opportunities while mitigating the impact of volatility.

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Publication Details

Journal
Journal of risk and financial management
Published
2024-09-03
DOI
https://doi.org/10.3390/jrfm17090390
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
0.00
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article

Patterns in the Chaos: The Moving Hurst Indicator and Its Role in Indian Market Volatility

Jigarkumar Shah, Ankush Raje, Param Shah
Journal of risk and financial management
Market Dynamics and Volatility
article

Patterns in the Chaos: The Moving Hurst Indicator and Its Role in Indian Market Volatility

Jigarkumar Shah, Ankush Raje, Param Shah
article en

Abstract

Estimating the impact of volatility in financial markets is challenging due to complex dynamics, including random fluctuations involving white noise and trend components involving brown noise. In this study, we explore the potential of leveraging the chaotic properties of time series data for improved accuracy. Specifically, we introduce a novel trading strategy based on a technical indicator, Moving Hurst (MH). MH utilizes the Hurst exponent which characterizes the chaotic properties of time series. We hypothesize and then prove empirically that MH outperforms traditional indicators like Moving Averages (MA) in analyzing Indian equity indices and capturing profitable trading opportunities while mitigating the impact of volatility.

Journal of risk and financial managementVol. 17(9)
Pandit Deendayal Energy University (IN)
Openalex Percentile: Top 82%
Market Dynamics and Volatility
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