0343524 20240103193550.920100607235959.9 000279587300004 14 s. cav_un_epca*02560690587-4254416 (2010)1001-1014Jagellonian University scaling Hurst exponent extreme events cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/kristoufek-local scaling properties and market turning points at prague stock exchange.pdf 118310 GA UK CZ cav_un_auth*0274537 GA402/09/0965 GA ČR cav_un_auth*0253176 GD402/09/H045 GA ČR cav_un_auth*0253998 CEZ:AV0Z10750506 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. 2011 AH http://hdl.handle.net/11104/0185984 PHYSICSMULTIDISCIPLINARY 0.586 0.571 5.6 0.00734 0.24 1896 177 40 0.508 33.36 0.65 Q2 34.389 35.625 Q3 Q2 2010 000279587300004 WOS cav_un_epca*0256069 Acta physica Polonica. B 0587-4254 1509-5770 Roč. 41 č. 6 2010 1001 1014 Jagellonian University