Dlouhá paměť a její vývoj ve výnosech burzovního indexu PX v letech 1997-2009
[Long-Term Memory and Its Evolution in Returns of Stock Index PX Between 1997 and 2009]
Long-term memory processes have been extensively examined in recent literature as they provide simple way to test for predictabilty 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 use moving block bootstrap method for rescaled range and periodogram method. In our analysis of evolution of Hurst exponent between 1997 and 2009, we show that PX experienced persistent behavior which weakened in time. Nevertheless, the returns of PX remain close to confidence interval separating independent and persistent behavior.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2010 (2010)
Issue (Month): 4 ()
|Contact details of provider:|| Postal: nam. W. Churchilla 4, 130 67 Praha 3|
Phone: (02) 24 09 51 11
Fax: (02) 24 22 06 57
Web page: http://www.vse.cz/
More information through EDIRC
|Order Information:|| Postal: Redakce Politické ekonomie, Vysoká škola ekonomická, nám. W. Churchilla 4, 130 67 Praha 3|
Web: http://www.vse.cz/polek/ Email:
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Matos, José A.O. & Gama, Sílvio M.A. & Ruskin, Heather J. & Sharkasi, Adel Al & Crane, Martin, 2008. "Time and scale Hurst exponent analysis for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3910-3915.
- Rafal Weron, 2001.
"Estimating long range dependence: finite sample properties and confidence intervals,"
HSC Research Reports
HSC/01/03, Hugo Steinhaus Center, Wroclaw University of Technology.
- Weron, Rafał, 2002. "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 285-299.
- Thomas Lux, 2008.
"Applications of Statistical Physics in Finance and Economics,"
Kiel Working Papers
1425, Kiel Institute for the World Economy.
- Thomas Lux, 2007. "Application of Statistical Physics in Finance and Economics," Working Papers wp07-09, Warwick Business School, Finance Group.
- Lux, Thomas, 2007. "Applications of statistical physics in finance and economics," Economics Working Papers 2007,05, Christian-Albrechts-University of Kiel, Department of Economics.
- Karel Janda & Barbora Svárovská, 2009. "Investing into Microfinance Investment Funds," Working Papers IES 2009/32, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Dec 2009.
- Andrew W. Lo, 1989.
"Long-term Memory in Stock Market Prices,"
NBER Working Papers
2984, National Bureau of Economic Research, Inc.
- Fabrizio Lillo & J. Doyne Farmer, 2003.
"The long memory of the efficient market,"
cond-mat/0311053, arXiv.org, revised Jul 2004.
- T. Di Matteo, 2007. "Multi-scaling in finance," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 21-36.
- Couillard, Michel & Davison, Matt, 2005. "A comment on measuring the Hurst exponent of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 348(C), pages 404-418.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992.
"Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?,"
Journal of Econometrics,
Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Rafal Weron, 2001. "Measuring long-range dependence in electricity prices," Papers cond-mat/0103621, arXiv.org.
- John Barkoulas & Christopher Baum & Nickolaos Travlos, 2000.
"Long memory in the Greek stock market,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 10(2), pages 177-184.
- Cajueiro, Daniel O. & Tabak, Benjamin M., 2006. "Testing for predictability in equity returns for European transition markets," Economic Systems, Elsevier, vol. 30(1), pages 56-78, March.
- Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Carlos Echeverría, Juan, 2005. "Detrending fluctuation analysis based on moving average filtering," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 199-219.
- Grech, D & Mazur, Z, 2004. "Can one make any crash prediction in finance using the local Hurst exponent idea?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 133-145.
When requesting a correction, please mention this item's handle: RePEc:prg:jnlpol:v:2010:y:2010:i:4:id:742:p:471-487. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Frantisek Sokolovsky)
If references are entirely missing, you can add them using this form.