Publication detail

Kristoufek, L.: Local Scaling Properties and Market Turning Points at Prague Stock Exchange

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2010
Number: 0
ISSN / ISBN: 1509-5770
Published in: Acta Physica Polonica B, Vol. 41, No. 6 (June) PDF
Publishing place: Cracow, Poland
JEL codes: 05.40.–a, 05.45.Vx, 89.20.–a, 89.65.Gh
Suggested Citation:
Grants: 402/09/0965: New Approaches for monitoring and prediction of capital markets 402/09/H045 - Nelineární dynamika v peněžní ekonomii a financích. Teorie a empirické modely GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract: We apply a method of time-dependent Hurst exponent, proposed in the series of papers by Grech and Mazur [Physica A 336, 335 (2004)], Grech and Pamula [Physica A 387, 4299 (2008)] and Czarnecki, Grech and Pamula [Physica A 387, 6801 (2008)], on the stock market of the Czech Republic for a period between 1997 and 2009. Our results support the findings of the authors so that the time-dependent Hurst exponent can give some crucial information before a critical event happens on a market. We also discuss some potentially weak points of the method.




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