On the fractal characterization of a system for tradings on Eurozone stocks.

.We examine the fractal features of a bunch of indexes that practitioners generally maintain under strong control to capture the movements of Eurozone stocks. Baltic Dry Index (BDI), RJ/CRB Commodity Price Index (RJ/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 behaviour 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 paper is to verify to what extent the use of multiscaling analysis can be of any help to capture such anticipatory movements. To do this we performed two separate tasks: on the one hand we firstly evaluated the Hurst exponent of the aforementioned indexes using a set of different techniques (namely: classical Mandelbrot-Wallis [6], Robinson [7], Higuchi [4], and Taqqu methods [8]), to give robustness to the obtained results; then we moved to compute for each of them the H¨olderian function values Ht as described in [1]. On the other hand, those results suggested us the track along which we developed a trading system on the Eurostoxx 50 index whose performance will be provided and discussed as well. On the fractal characterization of a system for tradings on Eurozone stocks. Available from: http://www.researchgate.net/publication/233808374_On_the_fractal_characterization_of_a_system_for_tradings_on_Eurozone_stocks [accessed Nov 11, 2015].