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

2007/08/02 by D. Grech, Grech, D., G. Pamuła +1
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Computational Engineering #Data Analysis #FOS: Computer and information sciences #FOS: Economics and business #FOS: Physical sciences #Finance #Statistical Finance (q-fin.ST) #Statistics and Probability (physics.data-an) #and Science (cs.CE) #cs.CE #physics.data-an #q-fin.ST

paper · pdf · doi:10.48550/arxiv.0708.0353

LaTeX, 14 pages, 12 figures included

arxiv created 2007/08/02 · arxiv updated 2009/12/01

Abstract

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.

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