Fractals, Vol. 25, No. 1 (2017) 1750006 (10 pages) c  World Scientific Publishing Company DOI: 10.1142/S0218348X17500062 A COMPARISON OF THREE HURST EXPONENT APPROACHES TO PREDICT NASCENT BUBBLES IN S&P500 STOCKS M. FERN ´ ANDEZ-MART ´ INEZ, *,¶ M. A. S ´ ANCHEZ-GRANERO, †,∥ M. J. MU ˜ NOZ TORRECILLAS ‡,** and BILL MCKELVEY §,†† * University Centre of Defence at the Spanish Air Force Academy MDE-UPCT, Santiago de la Ribera, 30720 Murcia, Spain † Department of Mathematics, Universidad de Almer´ ıa 04120 Almer´ ıa, Spain ‡ Department of Accounting and Finance Universidad de Almer´ ıa, 04120 Almer´ ıa, Spain § UCLA Anderson School of Management 110 Westwood Plaza, Box 951481 Los Angeles, CA 90095-1481, USA ¶ manuel.fernandez-martinez@cud.upct.es ∥ misanche@ual.es ** mjmtorre@ual.es †† mckelvey@anderson.ucla.edu Received September 4, 2015 Accepted November 28, 2016 Published February 6, 2017 Abstract Since the pioneer contributions due to Vandewalle and Ausloos, the Hurst exponent has been applied by econophysicists as a useful indicator to deal with investment strategies when such a value is above or below 0.5, the Hurst exponent of a Brownian motion. In this paper, we hypoth- esize that the self-similarity exponent of financial time series provides a reliable indicator for ¶ Corresponding author. 1750006-1 Fractals Downloaded from www.worldscientific.com by WSPC on 02/07/17. For personal use only.