...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Physica, A. Statistical mechanics and its applications >The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange
【24h】

The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange

机译：使用赫斯特指数预测华沙证券交易所趋势的变化

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

The local properties of the time series of the evolution of share prices of 126 significant companies traded on the Warsaw Stock Exchange during the period between 19912008 have been investigated. The analysis was applied to daily financial returns. I have used the local DFA to obtain the Hurst exponent (diffusion coefficient) while searching for negative correlations by which changes of long-term trends would be effected. A certain evidence, proving that after the signature of anti-correlationthe drop in the Hurst exponentthe change in the trend and in the return rate of an investment is probable, was pointed out. Hence after further investigation this method may be useful as a part of an investment strategy. As the Warsaw Stock Exchange is relatively smaller and younger than other significant world Stock Exchangesand as the developing market is less efficientthe generalization for others markets needs further investigation.
机译：我们调查了19912008年之间在华沙证券交易所交易的126家重要公司的股价变化的时间序列的本地属性。该分析被应用于每日财务收益。我使用本地DFA来获得赫斯特指数（扩散系数），同时寻找负相关性，从而影响长期趋势的变化。指出了一些证据，证明了在反相关签名后，赫斯特指数下降，投资的趋势和回报率可能发生变化。因此，在进一步研究之后，该方法可能会作为投资策略的一部分有用。由于华沙证券交易所比其他重要的世界证券交易所要小得多和年轻，并且由于发展中市场的效率较低，因此需要进一步研究其他市场的普遍性。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号