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.
Authors
- Jigarkumar Shah (ORCID: https://orcid.org/0000-0002-2567-6547)
- Ankush Raje (ORCID: https://orcid.org/0000-0003-0972-3777)
- Param Shah
Institutions
- Pandit Deendayal Energy University (IN)
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