Institute of Information Theory and Automation

Publication details

Dlouhá pamět a její vývoj ve výnosech burzovního indexu PX v letech 1997 - 2009

Journal Article

Krištoufek Ladislav

serial: Politická ekonomie vol.58, 4 (2010), p. 471-478

research: CEZ:AV0Z10750506

project(s): GAUK 118310, GAUK, MŠMT 0021620841, MŠMT, GD402/09/H045, GA ČR

keywords: econophysics, long-range dependence, time series analysis, rescaled range, periodogram

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abstract (cze):

Tato práce se zabývá procesy s dlouhodobou pamětí, jejich vývojem a jejich použitím ve výpočtech výnosu burzovního indexu PX v letech 1997 - 2009

abstract (eng):

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty in the underlying process. However, most of the literature inter- prets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experien- ced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.


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Last modification: 21.12.2012
Institute of Information Theory and Automation