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Local Scaling Properties and Market Turning Points at Prague Stock Exchange
- 1.0343524 - ÚTIA 2011 RIV PL eng J - Journal Article
Krištoufek, Ladislav
Local Scaling Properties and Market Turning Points at Prague Stock Exchange.
Acta physica Polonica. B. Roč. 41, č. 6 (2010), s. 1001-1014. ISSN 0587-4254. E-ISSN 1509-5770
R&D Projects: GA ČR GA402/09/0965; GA ČR GD402/09/H045
Grant - others:GA UK(CZ) 118310
Institutional research plan: CEZ:AV0Z10750506
Keywords : scaling * Hurst exponent * extreme events
Subject RIV: AH - Economics
Impact factor: 0.671, year: 2010
http://library.utia.cas.cz/separaty/2010/E/kristoufek-local scaling properties and market turning points at prague stock exchange.pdf
We apply a method of time-dependent Hurst exponent, proposed in the series of papers by Grech and Mazur [Physica A 336, 335 (2004)], Grech and Pamula [Physica A 387, 4299 (2008)] and Czarnecki, Grech and Pamula [Physica A 387, 6801 (2008)], on the stock market of the Czech Republic for a period between 1997 and 2009. Our results support the findings of the authors so that the time-dependent Hurst exponent can give some crucial information before a critical event happens on a market. We also discuss some potentially weak points of the method.
Permanent Link: http://hdl.handle.net/11104/0185984
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