Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7382651 | Physica A: Statistical Mechanics and its Applications | 2012 | 14 Pages |
Abstract
⺠I investigated the global maximum of the Warsaw Stock Exchange WIG20 index. ⺠Using the local DFA, I examined the level of anti-correlation near the maximum. ⺠The analysis was applied to the share price evolution for variable DFA parameters. ⺠For many values of parameters, the evidence of anti-correlation was pointed out. ⺠The analysis was made for relatively small and young Stock Exchange.
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Krzysztof Domino,