Font Size: a A A

Research On The Efficiency Of China Stock Index Futures Market Based On Hurst Exponent

Posted on:2015-11-09Degree:MasterType:Thesis
Country:ChinaCandidate:X L MengFull Text:PDF
GTID:2309330422491300Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
In April2010, CSI300stock index futures was launched and the efficiency ofstock index futures market have been focused on since then. Hurst exponent is a statisticfrom fractal market theory which could measure the efficiency of financial market. Thispaper aimed at investigating the efficiency of China CSI300stock index futures marketusing Hurst exponent and checking the measurement of Hurst exponent through anempirical study of high frequency trading strategies.At first, the efficiency of CSI300stock index futures market was examined byHurst exponent from fractal market hypothesis. Hurst exponents of16stock indexfutures contracts were calculated with high frequency data and we found that the markethas persistence or anti-persistence at different periods which indicates that the market isnot weak form efficient market and people can get returns by technical analysis.This paper checked the measurement of Hurst exponent for efficiency of stockindex futures market. A trend strategy and a reversion strategy is constructed and backtest had been done on nearly300trading days By examining the correlation betweenstrategy returns and Hurst exponent we found that the positive correlation between trendstrategy returns and Hurst exponent is significant, so is the negative correlation betweenreversion strategy returns and Hurst exponent. That is to say, trading days with highHurst exponent tend to have higher returns under trend strategy and trading days withlow Hurst exponent tend to have higher returns under reversion strategy. We also findthat trading on some trading days may get more returns than on all trading days, sinceHurst exponent’s measurement on market efficiency.
Keywords/Search Tags:Hurst exponent, market efficiency, efficient market hypothesis, fractalmarket hypothesis, high frequency trading
PDF Full Text Request
Related items