Forecasting And Stock Market Critical Points Analysis Using Modified Local Holder Exponents
Table 2:
| Asset | MLHE window | Interval, number of points(3.1)/(3.2) | Signal threshold in the number of mean values(3.1)/(3.2) | The normalized value of large motion (3.1)/(3.2) | Faithful signals of MLHE (3.1)/RSG | Faithful signals of MLHE(3.2)/RSG | Total number of signals(3.1)/(3.2) |
| AT&T | 320 | 40/50 | 3.5/2.8 | 0.0021/0.0016 | 0.72/0.34 | 0.79/0.5 | 43/54 |
| Apple | 320 | 40/40 | 2/2 | 0.0028/0.0019 | 0.72/0.33 | 0.77/0.5 | 83/83 |
| H&P | 320 | 60/60 | 3.5/3.5 | 0.0041/0.0027 | 0.67/0.35 | 0.82/0.5 | 49/49 |
| Coca-cola | 320 | 50/50 | 2.7/2.7 | 0.0023/0.0017 | 0.73/0.38 | 0.80/0.49 | 56/56 |
| IBM | 320 | 30/30 | 2.6/2.6 | 0.0023/0.0015 | 0.60/0.38 | 0.76/0.49 | 45/45 |
| Intel | 320 | 50/50 | 2.5/2.5 | 0.0035/0.0022 | 0.77/0.38 | 0.80/0.5 | 67/67 |
| Microsoft | 320 | 40/40 | 3.9/3.9 | 0.0028/0.0018 | 0.78/0.36 | 0.88/0.53 | 42/42 |
| 320 | 40/140 | 3.2/3.9 | 0.0040/0.0066 | 0.57/0.36 | 0.76/0.53 | 23/19 | |
| McDonalds | 320 | 60/70 | 3.2/3.2 | 0.0028/0.0021 | 0.73/0.36 | 0.89/0.51 | 48/47 |
| Exxon | 320 | 40/40 | 3.6/3.6 | 0.0024/0.0016 | 0.83/0.36 | 0.90/0.51 | 58/58 |
| Kraft Foods | 320 | 30/30 | 3.1/3.1 | 0.0030/0.0020 | 0.70/0.36 | 0.87/0.51 | 23/23 |
| Pfizer | 320 | 50/50 | 3.5/3.7 | 0.0026/0.0021 | 0.75/0.37 | 0.81/0.52 | 48/43 |
| Bank Of America | 320 | 30/30 | 4/4 | 0.0025/0.0018 | 0.7/0.36 | 0.8/0.47 | 40/40 |
| D&J-ind | 320 | 70/70 | 3.8/2.8 | 0.0019/0.0012 | 0.75/0.32 | 0.90/0.49 | 32/32 |
| Gazprom | 320 | 210/60 | 2.4/2.6 | 0.0085/0.0031 | 0.47/0.38 | 0.58/0.51 | 77/72 |
| Lukoil | 320 | 170/170 | 1.9/0.9 | 0.0070/0.0055 | 0.66/0.38 | 0.63/0.50 | 59/86 |
| Sberbank | 320 | 210/20 | 1.7/3.8 | 0.0118/0.0024 | 0.54/0.39 | 0.68/0.51 | 93/41 |
| RTSI index | 320 | 190/200 | 2.8/2.7 | 0.0077/0.0066 | 0.62/0.38 | 0.72/0.50 | 42/43 |
| MTS | 320 | 180/160 | 3.9/1.5 | 0.0093/0.0063 | 0.55/0.36 | 0.65/0.49 | 36/83 |