Physics – Condensed Matter – Disordered Systems and Neural Networks
Scientific paper
2003-11-27
Physics
Condensed Matter
Disordered Systems and Neural Networks
LaTeX 2e, 7 figures (included), 17 pages
Scientific paper
10.1016/j.physa.2004.01.018
We apply the Hurst exponent idea for investigation of DJIA index time-series data. The behavior of the local Hurst exponent prior to drastic changes in financial series signal is analyzed. The optimal length of the time-window over which this exponent can be calculated in order to make some meaningful predictions is discussed. Our prediction hypothesis is verified with examples of '29 and '87 crashes, as well as with more recent phenomena in stock market from the period 1995-2003.Some interesting agreements are found.
Grech Dariusz
Mazur Zygmunt
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