Tytuł | The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index |
Publication Type | Journal Article |
Rok publikacji | 2012 |
Autorzy | Domino K |
Journal | Physica A |
Volume | 391 |
ISSN | ISSN: 0378-4371 |
Słowa kluczowe | Detrended fluctuation analysis, Econophysics, Frequency distribution, Hurst exponent, Statistical research, Time series, Warsaw Stock Exchange |
Abstract | The WIG20 index – the index of the 20 biggest companies traded on the Warsaw Stock Exchange – reached the global maximum on 29th October 2007. I have used the local DFA (Detrended Functional Analysis) to obtain the Hurst exponent (diffusion exponent) and investigate the signature of anti-correlation of share price evolution around the maximum. The analysis was applied to the share price evolution for variable DFA parameters. For many values of parameters, the evidence of anti-correlation near the WIG20 maximum was pointed out. |
DOI | 10.1016/j.physa.2011.06.062 |