Stock Market Forecast: Does the Stock Market Feature Memory?
Sergey Okun – Financial Analyst at I Know First, Ph.D. in Economics.
Alisa Iartseva – Data analyst at I Know First.
Highlights:
- The stock market has a long-term memory that allows us to make reliable predictions of the future based on previous behaviors and tendencies.
- The S&P 500 has the highest Hurst exponent compared with the DAX 30, the CAC 40, and the FTSE 100.
- The Hurst exponent rises with the extension of the step period length which decreases noise in a time series and increases predictability.