FractaTrade sees anti-persistent hurst signal on BELPEX

(Nov 6 2016) – Today’s calculation on Belpex’s prices and volumes shows an anti-persistent hurst signal, meaning there will be most probably a significant change in its price dut to exogenous factors.

FractaTrade anti-persistent hurst signal

Since the Hurst exponent is between 0 and 0.5, the signal is anti-persistent. It goes quickly towards the 0.5 meaning it will enter a tough period, most probably driven by bad weather vs unplanned unavailability of many nuclear sources in France.

What is FractaTrade anti-persistent hurst algorithm?

Our tool suite is based on Fractal Forecasts Models inspired by Benoit Mandelbrot and Didier Sornette.

In 2014, Dr Leila Rebbouh, Physicists, Dr Elia Liitiainen and Nicolas Evrard, Computer Scientists, Dr Céline Brandt, Marketer et Stephan Pire, Business Developer started working on a Web Service calculating a Hurst coefficient based on set of data downloaded from Google Finance, Yahoo Finance and Bloomberg to create Fractal Forecasts Models.

In R/S Analysis, an anti-persistent time series reverses itself more often than a random series would. If the system had been up in the previous period, it is more likely that it will be down in the next period and vice versa. Also called pink noise, or 1/f noise. See: Persistence, R/S Analysis, Hurst Exponent, Joseph Effect, Noah Effect.

We managed to put together a Web Service serving data mined and processed thru the Hurst coefficient and displayed with 3 lines (Price, Beta, Hurst) as per this Apple example:

Fractal Forecasts Models about Apple's Beta ratioFractal Forecasts Models about Apple's Hurst ratio

What is Belpex?

Belpex is a power exchange for anonymous, cleared, short term trading in electricity, providing the market with a transparent reference price. Belpex’ market is called the Belpex Spot Market and is composed of three Market Segments.

What to read on Data Science?

So you can check out our Library about the Microgrids topic or check out those books:

Books about Data Science at LR Physics

Hadoop: The Definitive Guide


Books about Data Science at LR Physics

Learning Spark: Lightning-Fast Big Data Analysis


Books about Data Science at LR Physics

Python for Finance: Analyze Big Financial Data


Books about Data Science at LR Physics

R for Data Science


Speak to someone at LR-Physics about anti-persistent hurst signal

Please feel free to contact us at LR-Physics for any need for Fractal Predictive applications. We will come back to you real quick. We will be listening to your risk management challenges and giving you opportunities to fix them in a fast implementation.

If filling up forms is not your thing, you can call us at the following numbers depending your location:
France: (01) 76 39 00 41
Belgium: (04) 268 03 33
USA: (314) 399 82 87
UK: (203) 318 23 02

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