00899nas a2200133   4500000000100000000000100001008004100002100002100043245010900064300001400173490000800187520055000195022002000745       2012                            d1 aKrzysztof Domino00aThe use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index  a156–1690 v3913 a<p>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.</p>
  aISSN: 0378-4371