Stock Indices for Emerging Markets

• Authors: K. Karpio , A. Orłowski , P. Łukasiewicz
• 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

89.65.Gh; 02.30.Nw

Discipline

• 02.30.Nw: Fourier analysis
• 89.65.Gh: Economics; econophysics, financial markets, business and management(for economic issues regarding production and use of renewable energy, see 88.05.Lg)

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2010
• Volume: 117
• Issue: 4
• Pages: 619-622

Dates

published

2010-04

Contributors

author

K. Karpio

• Katedra Informatyki SGGW, Nowoursynowska 166, 02-787 Warszawa, Poland

author

A. Orłowski

• Katedra Informatyki SGGW, Nowoursynowska 166, 02-787 Warszawa, Poland
• Instytut Fizyki PAN, al. Lotników 32/46, 02-668 Warszawa, Poland

author

P. Łukasiewicz

• Katedra Informatyki SGGW, Nowoursynowska 166, 02-787 Warszawa, Poland

References

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Identifiers

DOI

10.12693/APhysPolA.117.619