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2010 | 117 | 4 | 619-622
Article title

Stock Indices for Emerging Markets

Content
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Languages of publication
EN
Abstracts
EN
Indices of selected financial markets from various parts of world, different sizes and levels of development are investigated. The local Hurst exponent is globally compared to log-prices. Periodic changes in correlation coefficient are quantified via discrete Fourier transform. Local Hurst exponents spectra are discussed for investigated markets.
Keywords
EN
Contributors
author
  • Katedra Informatyki SGGW, Nowoursynowska 166, 02-787 Warszawa, Poland
author
  • Katedra Informatyki SGGW, Nowoursynowska 166, 02-787 Warszawa, Poland
  • Instytut Fizyki PAN, al. Lotników 32/46, 02-668 Warszawa, Poland
  • Katedra Informatyki SGGW, Nowoursynowska 166, 02-787 Warszawa, Poland
References
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  • 3. D. Grech, G. Pamuła, Physica A 387, 4299 (2008)
  • 4. D. Grech, Z. Mazur, Physica A 336, 133 (2004)
  • 5. C.K. Peng, S.V. Buldyrev, A.L. Goldberger, S. Havlin, M. Simons, H.E. Stanley, Phys. Rev. E 47, 3730 (1993)
  • 6. B.B. Mandelbrot, The Fractal Geometry of Nature, W.H. Freeman, New York 1982
  • 7. P. Oświęcimka, J. Kwapien, S. Drożdż, R. Rak, Acta Phys. Pol. B 36, 2447 (2005)
Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv117n452kz
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