期刊名称：International Journal of Business and Management
印刷版ISSN：1833-3850
电子版ISSN：1833-8119
出版年度：2010
卷号：6
期号：1
页码：223
DOI：10.5539/ijbm.v6n1p223
语种：English
出版社：Canadian Center of Science and Education
摘要：Hurst exponent (H) measured from R/S ratio, is being used as a measure to find predictability of a time series. The larger the H value, the stronger is the trending trait in the time series. In this paper, we estimated R/S ratio of several stock indexes of Indian market for 10 years. Though the overall Hurst exponent values for the selected series were close to 0.5, the value varied widely on period-to-period basis. The analysis of R/S ratio on a smaller window size of 30 trading day revealed a positive relationship between R/S ratio and performance of a moving average based trading rule.
