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摘要翻译：
本文在修正Holder指数的基础上，提出了一种新的特异指标。该指标已用于预测金融时间序列的临界点和美国股市的崩盘。该方法基于这样一个假设，即在市场临界点出现之前，金融时间序列的动态发生了根本性的变化，即时间序列变得更加平滑。该方法已在程式化数据和真实美国股市数据上进行了验证。研究表明，预测金融时间序列的临界点是可能的，这些临界点包括大的上下波动和趋势变化。在此基础上，提出并检验了一种新的交易策略。
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英文标题：
《Modified Holder Exponents Approach to Prediction of the USA Stock Market
Critical Points and Crashes》
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作者：
Yu.A Kuperin, R.R. Schastlivtsev
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最新提交年份：
2008
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Physics and Society 物理学与社会
分类描述：Structure, dynamics and collective behavior of societies and groups (human or otherwise). Quantitative analysis of social networks and other complex networks. Physics and engineering of infrastructure and systems of broad societal impact (e.g., energy grids, transportation networks).
社会和团体（人类或其他）的结构、动态和集体行为。社会网络和其他复杂网络的定量分析。具有广泛社会影响的基础设施和系统（如能源网、运输网络）的物理和工程。
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英文摘要：
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and crashes of the USA stock market. The proposed approach is based on the hypothesis, which claims that before market critical points occur the dynamics of financial time series radically changes, namely time series become smoother. The approach has been tested on the stylized data and real USA stock market data. It has been shown that it is possible to forecast such critical points of financial time series as large upward and downward movements and trend changes. On this basis a new trading strategy has been elaborated and tested.
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PDF链接：
https://arxiv.org/pdf/0802.4460
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