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Procesy s dlouhou pamětí a jejich vývoj ve výnosech indexu PX v letech 1999 – 2009
[Long-term memory and its evolution in returns of PX between 1999 and 2009]

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Author Info
Kristoufek, Ladislav

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Abstract

Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictability in the underlying process. However, most of the literature interprets the results of estimated Hurst exponent simply by its comparison to its asymptotic limit of 0.5. Therefore, we present results of Monte Carlo simulations for rescaled range, modified rescaled range and detrended fluctuation analysis based on chosen scales taken into consideration. The results of simulations show that even independent process can show Hurst exponent far from 0.5. In our analysis of evolution of Hurst exponent between 1999 and 2009, we show that Czech PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 16435.

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Date of creation: 08 Jul 2009
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Handle: RePEc:pra:mprapa:16435

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Related research
Keywords: Hurst exponent; long-range dependence; time series analysis; persistence; rescaled range; detrended fluctuation analysis;

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Find related papers by JEL classification:
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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  1. Fabrizio Lillo & J. Doyne Farmer, 2003. "The long memory of the efficient market," Quantitative Finance Papers cond-mat/0311053, arXiv.org, revised Jul 2004. [Downloadable!]
  2. Tran Van Quang, 2007. "Testing The Weak Form Of Efficient Market Hypothesis For The Czech Stock Market," Politická ekonomie, University of Economics, Prague, vol. 2007(6), pages 751-772. [Downloadable!] (restricted)
  3. Fabrizio Lillo & J. Doyne Farmer, 2004. "The Long Memory of the Efficient Market," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(3). [Downloadable!]
  4. T. Di Matteo, 2007. "Multi-scaling in finance," Quantitative Finance, Taylor and Francis Journals, vol. 7(1), pages 21-36. [Downloadable!] (restricted)
  5. chin, wencheong, 2008. "Spurious long-range dependence: evidence from Malaysian equity markets," MPRA Paper 7914, University Library of Munich, Germany. [Downloadable!]
  6. Barkoulas, John T & Baum, Christopher F & Travlos, Nickolaos, 2000. "Long Memory in the Greek Stock Market," Applied Financial Economics, Taylor and Francis Journals, vol. 10(2), pages 177-84, April. [Downloadable!] (restricted)
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  7. Lux, Thomas, 2007. "Applications of statistical physics in finance and economics," Economics Working Papers 2007,05, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  8. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-313, September. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-29.

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