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 |
| Keywords: | |
| 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. |
