Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali

Influence of financial crisis on Hurst exponent estimates - fractal analysis of selected metals prices

Rafał Buła

MPRA Paper from University Library of Munich, Germany

Abstract: The main purpose of this article is to prove that prices of selected metals quoted at London Metal Exchange could be described as biased random walks. In this paper hypothesis of black noise character of returns is verified (sequences are observed more frequently than reversals). Exploiting Hurst’s method of rescaled range author confirms that analyzed financial time series are characterized by 4-year nonperiodic cycle. Moreover influence of world financial crisis on stability of calculated estimates is assessed.

Keywords: Rescaled range analysis; Hurst exponent; fractal dimension; financial crisis (search for similar items in EconPapers)
JEL-codes: G01 G17 (search for similar items in EconPapers)
Date: 2012
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Published in Gospodarka rynkowa w warunkach kryzysu (2012): pp. 312-323

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:59710

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