The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market

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We investigate the local fractal properties of the financial time series based on the evolution of the Warsaw Stock Exchange Index (WIG) connected with the largest developing financial market in Europe. Calculating the local Hurst exponent for the WIG time series we find an interesting dependence between the behavior of the local fractal properties of the WIG time series and the crashes appearance on the financial market.
LaTeX, 14 pages, 12 figures included

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Statistical Finance, Computational Engineering, Finance, and Science, Data Analysis, Statistics and Probability

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http://salesiana.dossiersoluciones.com/handle/123456789/208348

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0708.0353
 http://arxiv.org/abs/0708.0353

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arXiv