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

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dc.creatorGrech, D.
dc.creatorPamuła, G.
dc.date2007-08-02
dc.date.accessioned2026-07-07T12:05:20Z
dc.date.available2026-07-07T12:05:20Z
dc.descriptionWe 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.
dc.descriptionLaTeX, 14 pages, 12 figures included
dc.identifierhttps://arxiv.org/abs/0708.0353
dc.identifierhttp://arxiv.org/abs/0708.0353
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208348
dc.subjectStatistical Finance
dc.subjectComputational Engineering, Finance, and Science
dc.subjectData Analysis, Statistics and Probability
dc.titleThe Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market
dc.typetext

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