The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market
نویسندگان
چکیده
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
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ورودعنوان ژورنال:
- CoRR
دوره abs/0708.0353 شماره
صفحات -
تاریخ انتشار 2007