Institute of Information Theory and Automation

Publication details

Local Scaling Properties and Market Turning Points at Prague Stock Exchange

Journal Article

Krištoufek Ladislav


serial: Acta physica Polonica. B vol.41, 6 (2010), p. 1001-1014

research: CEZ:AV0Z10750506

project(s): 118310, GA UK, GA402/09/0965, GA ČR, GD402/09/H045, GA ČR

keywords: scaling, Hurst exponent, extreme events

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abstract (eng):

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.

RIV: AH

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Last modification: 21.12.2012
Institute of Information Theory and Automation