The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index

The WIG20 index - the index of the 20 biggest companies traded on the Warsaw Stock Exchange - reached the global maximum on 29th October 2007. I have used the local DFA (Detrended Functional Analysis) to obtain the Hurst exponent (diffusion exponent) and investigate the signature of anti-correlation of share price evolution around the maximum. The analysis was applied to the share price evolution for variable DFA parameters. For many values of parameters, the evidence of anti-correlation near the WIG20 maximum was pointed out. (C) 2011 Elsevier B.V. All rights reserved.