The SME Board Stock Price Trend Analysis and Investment Strategy Under the Fractal Market Hypothesis



For a long time, the efficient market hypothesis plays an important role in financial capital markets. With the time goes by, people found many defects about the efficient market hypothesis, so the fractal market hypothesis occurred. In this study, we take the SME board stock as the research object, aiming to use R/S analysis to determine the characteristics of the SME board stock price movements. Then, we present a trading strategy based on the hurst index of stock, through the actual simulation of the stock market, we get a good return. There is no doubt that the fractal market hypothesis and the hurst index will be a good tool for stock market.


Hurst Index, R/S Analysis, Fractal Market Hypothesis, Strategy.


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