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The paper is devoted to elaboration of a novel specific indicator based onthe modified Holder exponents. This indicator has been used for forecastingcritical points of financial time series and crashes of the USA stock market.The proposed approach is based on the hypothesis, which claims that beforemarket critical points occur the dynamics of financial time series radicallychanges, namely time series become smoother. The approach has been tested onthe stylized data and real USA stock market data. It has been shown that it ispossible to forecast such critical points of financial time series as largeupward and downward movements and trend changes. On this basis a new tradingstrategy has been elaborated and tested.

Modified Holder Exponents Approach to Prediction of the USA Stock Market Critical Points and Crashes