Application of Hurst Exponent in Analysis of Stock Market′s Efficiency
Zhong Ye · Systems Engineering · 2001
Hurst exponent can be used to testify the chaotic and grouping characters of time series.This exponent of the log return rate for a real stock market is calculated and it is found that this market was not efficient. The Hurst exponent using a tiny interval sampling provided insight to whether there is someone controlling the price of stock. Hurst exponent is valuable in the investment in stock market.