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Space of Chaos on the Stock Market

This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

The S&P 500 demonstrates a consistent long-term memory that enables us to implement machine learning methods for prediction purposes.
The S&P 500 has become more predictable since Covid-19 introduced itself in 2020.
Investors have begun to consider fewer factors than they did before 2020.

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This article was written by:

Sergey Okun – Financial Analyst at I Know First, Ph.D. in Economics.

Alisa Iartseva – Data analyst at I Know First.

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.