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

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 1-2, 2012, Pages 156-169

  Domino, Krzysztof ^a  

^a UNIVERSITY OF SILESIA   (Poland)

Author keywords

Detrended fluctuation analysis; Econophysics; Frequency distribution; Hurst exponent; Statistical research; Time series; Warsaw Stock Exchange

Indexed keywords

TIME SERIES; TIME SERIES ANALYSIS;

DETRENDED FLUCTUATION ANALYSIS; ECONOPHYSICSS; FREQUENCY DISTRIBUTIONS; HURST EXPONENTS; STATISTICAL RESEARCH; STOCK EXCHANGE;

FINANCIAL MARKETS;

EID: 80054040262     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2011.06.062     Document Type: Article

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