Počet záznamů: 1

Local Scaling Properties and Market Turning Points at Prague Stock Exchange

  1. 1.
    0343524 - UTIA-B 2011 RIV PL eng J - Článek v odborném periodiku
    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
    Grant CEP: GA ČR GA402/09/0965; GA ČR GD402/09/H045
    Grant ostatní: GA UK(CZ) 118310
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: scaling * Hurst exponent * extreme events
    Kód oboru RIV: AH - Ekonomie
    Impakt faktor: 0.671, rok: 2010
    http://library.utia.cas.cz/separaty/2010/E/kristoufek-local scaling properties and market turning points at prague stock exchange.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0185984