| bibtype |
J -
Journal Article
|
| ARLID |
0343524 |
| utime |
20240103193550.9 |
| mtime |
20100607235959.9 |
| WOS |
000279587300004 |
| title
(primary) (eng) |
Local Scaling Properties and Market Turning Points at Prague Stock Exchange |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0256069 |
| ISSN |
0587-4254 |
| title
|
Acta physica Polonica. B |
| volume_id |
41 |
| volume |
6 (2010) |
| page_num |
1001-1014 |
| publisher |
| name |
Jagellonian University |
|
|
| keyword |
scaling |
| keyword |
Hurst exponent |
| keyword |
extreme events |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
118310 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0274537 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
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. |
| reportyear |
2011 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0185984 |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
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0.586 |
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0.571 |
| mrcbT16-h |
5.6 |
| mrcbT16-i |
0.00734 |
| mrcbT16-j |
0.24 |
| mrcbT16-k |
1896 |
| mrcbT16-l |
177 |
| mrcbT16-q |
40 |
| mrcbT16-s |
0.508 |
| mrcbT16-y |
33.36 |
| mrcbT16-x |
0.65 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
34.389 |
| mrcbT16-C |
35.625 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2010 |
| mrcbU34 |
000279587300004 WOS |
| mrcbU63 |
cav_un_epca*0256069 Acta physica Polonica. B 0587-4254 1509-5770 Roč. 41 č. 6 2010 1001 1014 Jagellonian University |
|