The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index

Krzysztof Domino

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 1, 156-169

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.

Keywords: Econophysics; Time series; Warsaw Stock Exchange; Hurst exponent; Detrended fluctuation analysis; Statistical research; Frequency distribution (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:1:p:156-169

DOI: 10.1016/j.physa.2011.06.062

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