About: Local Scaling Properties and Market Turning Points at Prague Stock Exchange

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
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)
Title	Local Scaling Properties and Market Turning Points at Prague Stock Exchange Local Scaling Properties and Market Turning Points at Prague Stock Exchange (en)
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)
skos:notation	RIV/67985556:_____/10:00343524!RIV11-GA0-67985556
http://linked.open...avai/riv/aktivita	P Z
http://linked.open...avai/riv/aktivity	P(GA402/09/0965), P(GD402/09/H045), Z(AV0Z10750506)
http://linked.open...iv/cisloPeriodika	6
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Krištoufek, Ladislav
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	268753
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/10:00343524
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	scaling; Hurst exponent; extreme events (en)
http://linked.open.../riv/klicoveSlovo	Hurst exponent scaling extreme events
http://linked.open...odStatuVydavatele	PL - Polská republika
http://linked.open...ontrolniKodProRIV	[F50EC06C0434]
http://linked.open...i/riv/nazevZdroje	Acta physica Polonica. B
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Nonlinear Dynamics in Monetary and Financial Economics. Theory and Empirical Models. New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2010
http://linked.open...v/svazekPeriodika	41
http://linked.open...iv/tvurceVysledku	Krištoufek, Ladislav
http://linked.open...ain/vavai/riv/wos	000279587300004
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech
issn	0587-4254
number of pages	14 (xsd:int)

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