Investigating mean reversion in financial markets using Hurst Model

In the dynamic world of financial markets, prices assets can exhibit dramatic fluctuations, sometimes soaring to dizzying heights or plummeting alarming lows. However, amidst chaos, a fascinating phenomenon emerges: tendency for revert back their long-term average mean level. This concept known as reversion has intrigued traders, investors, and researchers decades. Understanding provides valuable insights into market dynamics, investor behavior, potential profitable trading strategies. The aim this study was empirically investigate in markets. employed Hurst model sample five markets from June 1, 2018 2023. findings revealed that four out sampled reversion, which challenges efficient hypothesis concept. Therefore, portfolio managers active participants utilize memory optimize asset allocation decisions by considering persistent effects past returns adjusting weights take advantage return predictability manage risk.