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Statements

Subject Item
n2:RIV%2F00216208%3A11230%2F10%3A10005287%21RIV11-MSM-11230___
rdf:type
n12:Vysledek skos:Concept
dcterms: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.
dcterms:title
Local scaling properties and market turning points at Prague Stock Exchange Local scaling properties and market turning points at Prague Stock Exchange
skos:prefLabel
Local scaling properties and market turning points at Prague Stock Exchange Local scaling properties and market turning points at Prague Stock Exchange
skos:notation
RIV/00216208:11230/10:10005287!RIV11-MSM-11230___
n3:aktivita
n6:S n6:Z
n3:aktivity
S, Z(MSM0021620841)
n3:dodaniDat
n10:2011
n3:domaciTvurceVysledku
n17:6541852
n3:druhVysledku
n20:D
n3:duvernostUdaju
n14:S
n3:entitaPredkladatele
n21:predkladatel
n3:idSjednocenehoVysledku
268752
n3:idVysledku
RIV/00216208:11230/10:10005287
n3:jazykVysledku
n19:eng
n3:klicovaSlova
extreme events; Hurst exponent; local scaling
n3:klicoveSlovo
n4:Hurst%20exponent n4:extreme%20events n4:local%20scaling
n3:kontrolniKodProRIV
[06AA8A403472]
n3:mistoKonaniAkce
Praha
n3:mistoVydani
Prague
n3:nazevZdroje
Collection of papers 2010
n3:obor
n13:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n10:2010
n3:tvurceVysledku
Krištoufek, Ladislav
n3:typAkce
n11:EUR
n3:zahajeniAkce
2010-05-28+02:00
n3:zamer
n9:MSM0021620841
s:numberOfPages
10
n15:hasPublisher
Vysoká škola ekonomická v Praze. Nakladatelství Oeconomica
n18:isbn
978-80-245-1651-6
n8:organizacniJednotka
11230