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

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

2007-08-02

arxiv.org/abs/0708.0353v1

Economy

Quantitative Finance

Statistical Finance

LaTeX, 14 pages, 12 figures included

Scientific paper

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.

Affiliated with

Also associated with

No associations

Rating

The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and The Local Fractal Properties of the Financial Time Series on the Polish Stock Exchange Market will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-245178