Predicting the direction of Stock Indices has always been an appealing topic which has motivated researchers over the years to develop better predictive models. Recently, Machine learning (ML) based models have been frequently deployed to forecast the direction of classic financial time series...

The three-broad behaviour of market prices: trending, mean-reversion and random walk can be studied using the Hurst exponent. The goal of this paper is to develop a comprehensive trading strategy for Asian Equity Index Futures by making use of Hurst exponent of the price series. This paper...

This research analyzed the effectiveness of Black Swan strategies for the Short-Term Mean-Reversion systems, the risks and rewards profiles of such betting systems based on the S&P500 index. In determining the Black Swan events, the research made use of multiple strategies against two...