Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 27, 2008, Pages 6801-6811

  Czarnecki, Łukasz ^a   Grech, Dariusz ^a   Pamuła, Grzegorz ^a  

^a UNIVERSITY OF WROC AW   (Poland)

Author keywords

Complex systems; Econophysics; Hurst exponent; Time series analysis

Indexed keywords

COMMERCE; FINANCIAL DATA PROCESSING; FINANCIAL MARKETS; FRACTALS; LARGE SCALE SYSTEMS;

CRITICAL PHENOMENON; ECONOPHYSICSS; FINANCIAL TIME SERIES; FRACTAL DESCRIPTION; FRACTAL PROPERTIES; FRACTIONAL BROWNIAN MOTION; HURST EXPONENTS; STOCK EXCHANGE MARKETS;

TIME SERIES ANALYSIS;

EID: 53749088029     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.08.019     Document Type: Article

References (40)

1. Sornette D., Johansen A., and Bouchaud J.-P. J. Phys. I (France) 6 (1996) 167
2. Feigenbaum J.A., and Freund P.G.O. Internat. J. Modern Phys. B 10 (1996) 3737
3. Mandelbrot B.B. J. Business 36 (1963) 349
4. Takayasu H., Miura H., Hirabayashi T., and Hamada K. Physica A 184 (1992) 127
5. Bouchaud J.-P., and Sornette D. J. Phys. I (France) 4 (1994) 863
6. Mantegna R.N., and Stanley H.E. Nature 376 (1995) 46
7. Liu Y., Cizeau P., Meyer M., Peng C.-K., and Stanley H.E. Physica A 245 (1997) 437
8. Bak P., Paczuski M., and Shubik M. Physica A 246 (1997) 430
9. Sornette D., and Johansen A. Physica A 245 (1997) 411
10. Vandewalle N., Boveroux Ph., Minguet A., and Ausloos M. Physica A 255 (1998) 201
11. Vandewalle N., Ausloos M., Boveroux Ph., and Minguet A. Eur. Phys. J. B 4 (1998) 139
12. Vandewalle N., Ausloos M., Boveroux Ph., and Minguet A. Eur. Phys. J. B 9 (1999) 355
13. Johansen A., and Sornette D. Eur. Phys. J. B 17 (2000) 319
14. Ausloos M., Ivanova K., and Vandewalle N. Crashes: Symptoms, diagnoses and remedies. In: Takayasu H. (Ed). Empirical Sciences of Financial Fluctuations. The Advent of Econophysics, Tokyo, Japan, Nov. 15-17, 2000 Proceedings (2002), Springer Verlag, Berlin 62-76. arXiv:cond-mat/0104127
15. Drożdż S., Grummer F., Ruf F., and Speth J. Physica A 324 (2003) 174
16. Grech D., and Mazur Z. Physica A 336 (2004) 133
17. Bartolozzi M., Drożdż S., Leinweber D.B., Speth J., and Thomas A.W. Internat. J. Modern Phys. C 16 (2005) 1347
18. Sornette D. Phys. Rep. 297 (1998) 239
19. Drożdż S., Ruf F., Speth J., and Wójcik M. Eur. Phys. J B 10 (1999) 589
20. Kozłowska M., Kasprzak A., and Kutner R. Internat. J. Modern Phys. C 19 (2008) 453
21. Hurst H.E. Trans. Amer. Soc. Civ. Eng. 116 (1951) 770
22. Mandelbrot B.B., and Wallis J.R. Water Resource Res. 5 2 (1969) 321
23. Peng C.-K., Buldyrev S.V., Havlin S., Simons M., Stanley H.E., and Golberger A.L. Phys. Rev. E 49 (1994) 1685
24. Vandewalle N., and Ausloos M. Physica A 246 (1997) 454
25. Ausloos M., Vandewalle N., Boveroux Ph., Minguet A., and Ivanova K. Physica A 274 (1999) 229
26. Viswanathan G.M., Peng C.-K., Stanley H.E., and Goldberger A.L. Phys. Rev. E 55 (1997) 845
27. Kantelhardt J.W., Koscielny-Bunde E., Rego H.H.A., Havlin S., and Bunde A. Physica A 295 (2001) 441
28. Hu K., Ivanov P.Ch., Chen Z., Carpena P., and Stanley H.E. Phys. Rev. E 64 (2001) 011114
29. Chen Z., Ivanov P.Ch., Hu K., and Stanley H.E. Phys. Rev. E 65 (2002) 041107
30. Chen Z., Hu K., Carpena P., Bernaola-Galvan P., Stanley H.E., and Ivanov P.Ch. Phys. Rev. E 71 (2005) 011104
31. Buldyrev S.V., Dokholyan N.V., Golberger A.L., Havlin S., Peng C.-K., Stanley H.E., and Viswanathan G.M. Physica A 249 (1998) 430
32. Moret M.A., Zebenda G.F., Nogueira E., and Pereira M.G. Phys. Rev. E 68 (2003) 041104
33. Vandewalle N., and Ausloos M. Phys. Rev. E 58 (1998) 6832
34. Ausloos M., and Ivanova K. Internat. J. Modern Phys. C 12 (2001) 169
35. Ausloos M., and Ivanova K. Physica A 286 (2000) 353
36. Ausloos M., and Ivanova K. Eur. Phys. J. B 20 (2001) 537
37. Oświȩcimka P., Kwapień J., Drożdż S., and Rak R. Acta Phys. Pol. B 36 (2005) 2447
38. Grech D., and Pamuła G. Physica A 387 (2008) 4299
39. S. Drożdż, J. Kwapień, P. Oświȩcimka, J. Speth, arXiv: 0802.4043v1 [physics.soc-ph]
40. Carbone A., Castelli G., and Stanley H.E. Physica A 344 (2004) 267