The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market

Grech, Dariusz; Pamuła, Grzegorz

doi:10.1016/j.physa.2008.02.007

Cited by 128 publications

(80 citation statements)

References 22 publications

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“…From the position of current research quite important are works by Grech and Mazur (2004) and Grech and Pamula (2008), who investigate a connection between the Hurst exponent and market crashes.…”

Section: Analysis Of Key Theoretical Concepts Explaining Financial Mamentioning

confidence: 99%

Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009

Mynhardt

Plastun²,

Makarenko³

2014

COC

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This paper examines the behavior of financial markets efficiency during the recent financial market crisis. Using the Hurst exponent as a criterion of market efficiency we show that level of market efficiency is different for pre-crisis and crisis periods. We also classify financial markets of different countries by the level of their efficiency and reaffirm that financial markets of developed countries are more efficient than the developing ones. Based on Ukrainian financial market analysis we show the reasons of inefficiency of financial markets and provide some recommendations on their solution and thus improving the efficiency.

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Section: Analysis Of Key Theoretical Concepts Explaining Financial Mamentioning

confidence: 99%

Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009

Mynhardt

Plastun²,

Makarenko³

2014

COC

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“…They show that the S&P500 stock index exhibits weak long-range correlations. On the other hand, Grech and Pamuła [3] and Grech and Mazur [4] employed the local Hurst exponent behavior in order to predict crashes on the financial market.…”

Section: Introductionmentioning

confidence: 99%

Stock Indices for Emerging Markets

Karpio¹,

Orłowski

Łukasiewicz³

2010

Acta Phys. Pol. A

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“…10. Information suggesting that the end of the PL-identified trend is approaching; as is suggested by the research of Grech and Pamula (2008).…”

Section: Kinds Of Information That Would Disrupt/reduce Trader-homogementioning

confidence: 74%

“…LeBaron (2001) suggests that traders losing diverse buy/sell rules evolve to one dominant trading rule, a finding that also supports our hypothesis of synchronization. Grech and Pamula (2008) show that shortly before a crash a few of what they call "speculative" traders start abandoning the herd; as more begin to jump from the bubble, the period of log periodicity ends and a crash occurs.…”

Section: >>>Insert Figures 6 and 7 About Here<<mentioning

confidence: 99%

Adding Resilience to Financial Markets: Toward a Volatility-based, Power-Law Indicated, Resilience Initiation Point

Yalamova¹,

McKelvey²

2010

PsycEXTRA Dataset

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The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market

Cited by 128 publications

References 22 publications

Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009

Behavior of financial markets efficiency during the financial market crisis: 2007 – 2009

Stock Indices for Emerging Markets

Adding Resilience to Financial Markets: Toward a Volatility-based, Power-Law Indicated, Resilience Initiation Point

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