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The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index

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  • Domino, Krzysztof

Abstract

The WIG20 index–the index of the 20 biggest companies traded on the Warsaw Stock Exchange–reached the global maximum on 29th October 2007. I have used the local DFA (Detrended Functional Analysis) to obtain the Hurst exponent (diffusion exponent) and investigate the signature of anti-correlation of share price evolution around the maximum. The analysis was applied to the share price evolution for variable DFA parameters. For many values of parameters, the evidence of anti-correlation near the WIG20 maximum was pointed out.

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  • Domino, Krzysztof, 2012. "The use of the Hurst exponent to investigate the global maximum of the Warsaw Stock Exchange WIG20 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(1), pages 156-169.
    • Handle: RePEc:eee:phsmap:v:391:y:2012:i:1:p:156-169
    DOI: 10.1016/j.physa.2011.06.062
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    1. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    2. Domino, Krzysztof & Błachowicz, Tomasz, 2014. "The use of copula functions for modeling the risk of investment in shares traded on the Warsaw Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 77-85.
    3. Anagnostidis, P. & Varsakelis, C. & Emmanouilides, C.J., 2016. "Has the 2008 financial crisis affected stock market efficiency? The case of Eurozone," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 116-128.
    4. Morales, Raffaello & Di Matteo, T. & Aste, Tomaso, 2013. "Non-stationary multifractality in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(24), pages 6470-6483.
    5. Domino, Krzysztof & Błachowicz, Tomasz, 2015. "The use of copula functions for modeling the risk of investment in shares traded on world stock exchanges," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 142-151.
    6. Ladislav Kristoufek, 2012. "Fractal Markets Hypothesis And The Global Financial Crisis: Scaling, Investment Horizons And Liquidity," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(06), pages 1-13.
    7. Krzysztof Domino, 2016. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Papers 1605.09181, arXiv.org, revised Aug 2016.
    8. Domino, Krzysztof, 2017. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 267-276.
    9. Eoin Cartwright & Martin Crane & Heather J. Ruskin, 2022. "Side-Length-Independent Motif ( SLIM ): Motif Discovery and Volatility Analysis in Time Series— SAX , MDL and the Matrix Profile," Forecasting, MDPI, vol. 4(1), pages 1-19, February.

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