@article{bibcite_14618,
  author = {Krzysztof Domino},
  title = {The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index},
  abstract = {<p>The WIG20 index {\textendash} the index of the 20 biggest companies traded on the Warsaw Stock Exchange {\textendash} 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.</p>
},
  year = {2012},
  journal = {Physica A},
  volume = {391},
  pages = {156{\textendash}169},
  issn = {ISSN: 0378-4371},
  doi = { DOI: 10.1016/j.physa.2011.06.062},
  language = {eng},
}