The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 16-17, 2008, Pages 4299-4308

  Grech, Dariusz ^a   Pamuła, Grzegorz ^a  

^a UNIVERSITY OF WROC AW   (Poland)

Author keywords

Econophysics; Financial crashes; Fractals; Hurst exponent; Power laws; Scaling laws; Time series

Indexed keywords

FINANCE; FRACTALS; MARKETING; SCALING LAWS; TIME SERIES ANALYSIS;

FINANCIAL CRASHES; FINANCIAL MARKET; HURST EXPONENT;

INDUSTRIAL ECONOMICS;

EID: 43049155005     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.02.007     Document Type: Article

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