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.
BT - Physica A DO - DOI: 10.1016/j.physa.2011.06.062 LA - eng N2 -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.
PY - 2012 EP - 156–169 T2 - Physica A TI - The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index VL - 391 SN - ISSN: 0378-4371 ER -