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On the Fractal Characterization of a System for Tradings on Eurozone Stocks

Chapter
Part of the New Economic Windows book series (NEW)

Abstract

It is a common habit among practitioners to maintain under strong control the behavior of a bunch of indexes that are known to capture the movements of Eurozone stocks. Baltic Dry Index (BDI), RJ/CRB Commodity Price Index (CRB), Chicago Board Options Exchange Volatility Index (VIX) and Deutsche Bank G10 Currency Future Harvest Index (DBHI), in fact, are supposed to exhibit a kind of anticipatory behavior with respect to that of Eurozone economy: understanding their dynamics should therefore imply to know in advance how the economic system will behave. The rationale of this chapter is to verify to what extent the use of tools relying on chaos theory and complexity studies (in our case: multiscaling analysis) can be of any help to capture such anticipatory movements. To do this, we performed two separate tasks: we evaluated the Hurst exponent of the aforementioned indexes using a set of techniques, to give robustness to the results; we then moved to compute for each of them the Hölderian function values. The results suggested us the track along which developing a trading system based on the fractal characterization of the Eurostoxx 50 index whose performance will be provided and discussed as well.

Keywords

Hurst exponent Hölderian function Trading system 

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  1. 1.University of GenovaGenoaItaly

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