The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market
Dariusz Grech and
Grzegorz Pamuła
Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 16, 4299-4308
Abstract:
We investigate the local fractal properties of the financial time series based on the whole history evolution (1991–2007) of the Warsaw Stock Exchange Index (WIG), connected with the largest developing financial market in Europe. Calculating the so-called local time-dependent Hurst exponent Hloc for the WIG time series we find the dependence between the behavior of the local fractal properties of the WIG time series and the crashes’ appearance on the financial market. We formulate the necessary conditions based on the Hloc behavior which have to be satisfied if the rupture or crash point is expected soon. As a result we show that the signal to sell or the signal to buy on the stock exchange market can be translated into Hloc evolution pattern. We also find a relation between the rate of the Hloc drop and the total correction the WIG index gains after the crash. The current situation on the market, particularly related to the recent Fed intervention in September ’07, is also discussed.
Keywords: Econophysics; Time series; Scaling laws; Power laws; Hurst exponent; Financial crashes; Fractals (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (67)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437108001660
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:16:p:4299-4308
DOI: 10.1016/j.physa.2008.02.007
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).