@article{bibcite_14619,
  author = {Krzysztof Domino},
  title = {The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange},
  abstract = {<p>The local properties of the time series of the evolution of share prices of 126 significant companies traded on the Warsaw Stock Exchange during the period between 1991{\textendash}2008 have been investigated. The analysis was applied to daily financial returns. I have used the local DFA to obtain the Hurst exponent (diffusion coefficient) while searching for negative correlations by which changes of long-term trends would be effected. A certain evidence, proving that after the signature of anti-correlation {\textendash} the drop in the Hurst exponent {\textendash} the change in the trend and in the return rate of an investment is probable, was pointed out. Hence after further investigation this method may be useful as a part of an investment strategy. As the Warsaw Stock Exchange is relatively smaller and younger than other significant world Stock Exchanges {\textendash} and as the developing market is less efficient {\textendash} the generalization for others markets needs further investigation.</p>
},
  year = {2011},
  journal = {Physica A},
  volume = {390},
  pages = {98{\textendash}109},
  issn = {0378-4371},
  doi = {https://doi.org/10.1016/j.physa.2010.04.015},
  language = {eng},
}