LOCAL SCALING PROPERTIES AND MARKET TURNING POINTS AT PRAGUE STOCK EXCHANGE

被引：0

作者：

Kristoufek, Ladislav ^{[1
,2
]}

机构：

[1] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague 8, Czech Republic

[2] Charles Univ Prague, Inst Econ Studies, Prague 11000 1, Czech Republic

来源：

ACTA PHYSICA POLONICA B | 2010年 / 41卷 / 06期

关键词：

LONG-RANGE DEPENDENCE;

D O I：

暂无

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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.

引用

页码：1223 / 1236

页数：14

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