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Practice paper

Unveiling market turning points: Analysing skewness, kurtosis and Hurst exponent in intraday data

Clemens Kownatzki and Jungjun Park
Journal of Risk Management in Financial Institutions, 18 (2), 149-170 (2025)
https://doi.org/10.69554/NPUI8337

Abstract

Predicting major turning points in the market has often been dismissed as a fool’s errand, and yet, there is no shortage of practitioners or researchers attempting to do so. This paper offers such an attempt, as it examines intraday market dynamics during significant reversals using skewness, kurtosis and the Hurst exponent as primary variables of interest. The paper analyses minute-by-minute data of the S&P 500 (SPX) and NASDAQ 100 (NDX), with the goal of identifying patterns that precede market peaks and troughs. Focusing on specific periods during the COVID-19 pandemic and the great financial crisis (GFC), the findings of this study reveal that during market tops, skewness becomes more negative, kurtosis increases and the Hurst exponent is trending upwards. The exact opposite trends were observed just before a market bottom. These results provide valuable insights and a good analysis framework to better understand market dynamics at a high-frequency level. The paper also proposes numerous extensions for further research to transform these observations into actionable strategies for investors as well as risk managers.

Keywords: market reversals; risk management; risk models; high-frequency data

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Author's Biography

Clemens Kownatzki Dr Clemens Kownatzki is an Associate Professor of Finance and the Associate Dean of Academic Programs at Pepperdine Graziadio Business School. His research focuses on options, derivatives and risk management as well as the pricing and trading of options and volatility. Clemens earned his PhD in economics and management from Claremont Graduate University. He also holds an MBA degree from Pepperdine Graziadio Business School.

Jungjun Park Dr Jungjun Park is an Assistant Professor of Economics at St. Lawrence University, New York. His research primarily examines the impact of higher-moment (non-normal) risks on portfolio optimisation and explores market volatility to better understand its implications for financial decision making. At St. Lawrence University, he teaches applied portfolio management, financial derivatives and investments. Jungjun received his PhD in financial economics from Claremont Graduate University.

Citation

Kownatzki, Clemens and Park, Jungjun (2025, March 1). Unveiling market turning points: Analysing skewness, kurtosis and Hurst exponent in intraday data. In the Journal of Risk Management in Financial Institutions, Volume 18, Issue 2. https://doi.org/10.69554/NPUI8337.

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cover image, Journal of Risk Management in Financial Institutions
Journal of Risk Management in Financial Institutions
Volume 18 / Issue 2
© Henry Stewart
Publications LLP

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