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Description
| - 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.
- 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. (en)
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Title
| - Local scaling properties and market turning points at Prague Stock Exchange
- Local scaling properties and market turning points at Prague Stock Exchange (en)
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skos:prefLabel
| - Local scaling properties and market turning points at Prague Stock Exchange
- Local scaling properties and market turning points at Prague Stock Exchange (en)
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skos:notation
| - RIV/00216208:11230/10:10005287!RIV11-MSM-11230___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/00216208:11230/10:10005287
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - extreme events; Hurst exponent; local scaling (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...ontrolniKodProRIV
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http://linked.open...v/mistoKonaniAkce
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http://linked.open...i/riv/mistoVydani
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http://linked.open...i/riv/nazevZdroje
| - Collection of papers 2010
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...UplatneniVysledku
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http://linked.open...iv/tvurceVysledku
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http://linked.open...vavai/riv/typAkce
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http://linked.open.../riv/zahajeniAkce
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http://linked.open...n/vavai/riv/zamer
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number of pages
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http://purl.org/ne...btex#hasPublisher
| - Vysoká škola ekonomická v Praze. Nakladatelství Oeconomica
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https://schema.org/isbn
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http://localhost/t...ganizacniJednotka
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