کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
977949 1480188 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market
چکیده انگلیسی

We investigate the local fractal properties of the financial time series based on the whole history evolution (1991–2007) of the Warsaw Stock Exchange Index (WIG), connected with the largest developing financial market in Europe. Calculating the so-called local time-dependent Hurst exponent Hloc for the WIG time series we find the dependence between the behavior of the local fractal properties of the WIG time series and the crashes’ appearance on the financial market. We formulate the necessary conditions based on the Hloc behavior which have to be satisfied if the rupture or crash point is expected soon. As a result we show that the signal to sell or the signal to buy on the stock exchange market can be translated into Hloc evolution pattern. We also find a relation between the rate of the Hloc drop and the total correction the WIG index gains after the crash. The current situation on the market, particularly related to the recent Fed intervention in September ’07, is also discussed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issues 16–17, 1 July 2008, Pages 4299–4308
نویسندگان
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