Local Scaling Properties and Market Turning Points at Prague Stock Exchange

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SYSNO ASEP	0343524
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Článek ve WOS
Title	Local Scaling Properties and Market Turning Points at Prague Stock Exchange
Author(s)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Source Title	Acta physica Polonica. B. - : Jagellonian University - ISSN 0587-4254 Roč. 41, č. 6 (2010), s. 1001-1014
Number of pages	14 s.
Language	eng - English
Country	PL - Poland
Keywords	scaling ; Hurst exponent ; extreme events
Subject RIV	AH - Economics
R&D Projects	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
UT WOS	000279587300004
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2011

Number of the records: 1