Factors of Hurst Exponent

Abstract

Under the Fractal Theory research, a stock with high Hurst Exponent shall have high autocorrelation for the share price and we should use trend following investment method to profit from the stock trend. On the other hand, if a stock is with low Hurst Exponent, this means that the stock price shall have low autocorrelation and we should use the range trading investment method to profit from the without trend up and down.

This research checks which factors are important factors affecting the Hurst Exponent of the share price of a company so that we know which investment method should be used: trend following or range trading.