Short Term Trading Model for Asian Equity Index Futures – Using Hurst Exponent

Abstract

The three-broad behaviour of market prices: trending, mean-reversion and random walk can be studied using the Hurst exponent. The goal of this paper is to develop a comprehensive trading strategy for Asian Equity Index Futures by making use of Hurst exponent of the price series. This paper presents research on usages of Moving Hurst Exponent along with other well-known trading indicators to develop a complete short-term trading strategy and trading strategy evaluation experience which the academic and research community can build on.

Keywords: Equity Index Future Trading, Short Term Trading Models, Moving Hurst Exponent, Mean-Reversion Half-Life, Momentum Regime, Mean-Reversion Regime.