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]
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.
|Date of creation:||08 Jul 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Fabrizio Lillo & J. Doyne Farmer, 2003.
"The long memory of the efficient market,"
cond-mat/0311053, arXiv.org, revised Jul 2004.
- 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.
- 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.
- Andrew W. Lo, 1989.
"Long-term Memory in Stock Market Prices,"
NBER Working Papers
2984, National Bureau of Economic Research, Inc.
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- 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.
- 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.
- 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.
- 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.
- 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.
- McKenzie, Michael D, 2001. "Non-periodic Australian Stock Market Cycles: Evidence from Rescaled Range Analysis," The Economic Record, The Economic Society of Australia, vol. 77(239), pages 393-406, December.
- Chin, Wencheong, 2008. "Spurious long-range dependence: evidence from Malaysian equity markets," MPRA Paper 7914, University Library of Munich, Germany.
- B. Mandelbrot, 1972. "Statistical Methodology For Nonperiodic Cycles: From The Covariance To Rs Analysis," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290 National Bureau of Economic Research, Inc.
- T. Di Matteo, 2007. "Multi-scaling in finance," Quantitative Finance, Taylor & Francis Journals, vol. 7(1), pages 21-36.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:16435. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.