The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index
| Autorzy | Domino K. |
|---|---|
| Tytuł | The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index |
| Czasopismo | Physica A |
| Rok | 2012 |
| Status | Published |
| Tom | 391 |
| Strony | 156–169 |
| DOI | DOI: 10.1016/j.physa.2011.06.062 |
| Abstrakt | <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> |
| ISSN | ISSN: 0378-4371 |