Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market

Czarnecki, Łukasz; Grech, Dariusz; Pamuła, Grzegorz

doi:10.1016/j.physa.2008.08.019

Cited by 63 publications

(31 citation statements)

References 38 publications

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“…The Hurst exponent has been used in several studies in the past as a tool for detecting long-range deviations from the random walk hypothesis in financial returns (e.g., Refs. [9][10][11][12][13][14][15][16][17][18][19]). To this extent, an important aspect of the utilized methodology is that, to avoid potential finite sample biases, the statistical significance of the estimated Hurst exponents is assessed by means of Monte-Carlo sampling [8,20].…”

Section: Introductionmentioning

confidence: 99%

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

Anagnostidis

Varsakelis

Emmanouilides

2016

Physica A: Statistical Mechanics and its Applications

109

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Section: Introductionmentioning

confidence: 99%

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

Anagnostidis

Varsakelis

Emmanouilides

2016

Physica A: Statistical Mechanics and its Applications

109

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“…[1][2][3][4][5][6][7][8][9]. Even though there are several studies of the finite sample properties of different methods [10][11][12][13], most authors still interpret the results only on the basis of a simple comparison of the estimated Hurst exponent H with the theoretical value for an independent process of 0.5.…”

Section: Introductionmentioning

confidence: 99%

On Hurst exponent estimation under heavy-tailed distributions

Baruník

Krištoufek

2010

Physica A: Statistical Mechanics and its Applications

236

137

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In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal detrended fluctuation analysis (MF-DFA), detrending moving average (DMA) and generalized Hurst exponent approach (GHE) estimate Hurst exponent on independent series with different heavy tails. For this purpose, we generate independent random series from stable distribution with stability exponent {\alpha} changing from 1.1 (heaviest tails) to 2 (Gaussian normal distribution) and we estimate the Hurst exponent using the different methods. R/S and GHE prove to be robust to heavy tails in the underlying process. GHE provides the lowest variance and bias in comparison to the other methods regardless the presence of heavy tails in data and sample size. Utilizing this result, we apply a novel approach of the intraday time-dependent Hurst exponent and we estimate the Hurst exponent on high frequency data for each trading day separately. We obtain Hurst exponents for S&P500 index for the period beginning with year 1983 and ending by November 2009 and we discuss the surprising result which uncovers how the market's behavior changed over this long period

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“…It has been recently shown that complexity-entropy causality plane is an eective tool for distinguishing the stage of stock and commodity markets development [2,12]. 3.…”

Section: Complexity-entropy Causality Planementioning

confidence: 99%

The Efficiency of Polish Stock Market: Ordinal Patterns Approach

Graff

Kaczkowska

2013

Acta Phys. Pol. A

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Zunino et al. analyzed the problem of discrimination of developed and emergent markets by the use of ordinal patterns methods: number of forbidden patterns and ordinal pattern probability distribution as a basis for entropy and statistical measure of complexity. In this paper we apply the same methodology for the analysis of Polish stock market (index WIG). The results indicate that Polish market belongs neither to developed, nor to emergent groups of markets. It represents hybrid market, the third group distinguished in the paper by Zunino et al.

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Comparison study of global and local approaches describing critical phenomena on the Polish stock exchange market

Cited by 63 publications

References 38 publications

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone

On Hurst exponent estimation under heavy-tailed distributions

The Efficiency of Polish Stock Market: Ordinal Patterns Approach

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