Trends in Stock Prices and Range to Standard Deviation Ratio

Trends in Stock Prices and Range to Standard Deviation Ratio

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 p...

Measure the Fluctuation of the Stock Index According to Approximate Entropy and Standard Deviation

Abstract. The concept of entropy has been widely extended to other fields, including information theory and economic research. The economic financial sector of any country is the supplier of financial resources and real economic activities, which are divided into two parts: the money market and the capital market. In this paper, two criteria, approximate entropy and standard deviation have been...

The Distribution of the Ratio, in a Single Normal Sample, of Range to Standard Deviation

Influence of Range to Standard Deviation Ratio on Results of a Trading Rule

This paper examines relationship between Range to Standard deviation ratio (R/S ratio) and the profitability of a trading rule using stock prices of Indian market. The R/S ratios are expected to detect long-term dependencies in a time series. If dependencies are found, the dependency can be used to develop strategies for profitable trades. The larger the R/S ratio, the stronger is the trend and...

Collective Attention and Stock Prices: Evidence from Google Trends Data on Standard and Poor's 100

Today´s connected world allows people to gather information in shorter intervals than ever before, widely monitored by massive online data sources. As a dramatic economic event, recent financial crisis increased public interest for large companies considerably. In this paper, we exploit this change in information gathering behavior by utilizing Google query volumes as a "bad news" indicator for...