Searching for long memory effects in time series of central Europe stock market indices
This article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments. Source data are daily closing prices of Central Europe stock market indices – Bratislava stock index (SAX),...
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| Format: | Article |
| Language: | English |
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Mendel University Press
2008-01-01
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| Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
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| Online Access: | https://acta.mendelu.cz/56/3/0187/ |
| _version_ | 1811235849385279488 |
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| author | Luboš Střelec |
| author_facet | Luboš Střelec |
| author_sort | Luboš Střelec |
| collection | DOAJ |
| description | This article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments. Source data are daily closing prices of Central Europe stock market indices – Bratislava stock index (SAX), Budapest stock index (BUX), Prague stock index (PX) and Vienna stock index (ATX) – in the period from January 1998 to September 2007. For analysed data R/S analysis is used to calculate the Hurst exponent. On the basis of the Hurst exponent is characterized formation and behaviour of analysed financial time series. Computed Hurst exponent is also statistical compared with his expected value signalling independent process. It is also operated with 5-day returns (i.e. weekly returns) for the purposes of comparison and identification nonperiodic cycles. |
| first_indexed | 2024-04-12T11:59:03Z |
| format | Article |
| id | doaj.art-8e15a4a45c8f47aa9817a59603d4634c |
| institution | Directory Open Access Journal |
| issn | 1211-8516 2464-8310 |
| language | English |
| last_indexed | 2024-04-12T11:59:03Z |
| publishDate | 2008-01-01 |
| publisher | Mendel University Press |
| record_format | Article |
| series | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| spelling | doaj.art-8e15a4a45c8f47aa9817a59603d4634c2022-12-22T03:33:55ZengMendel University PressActa Universitatis Agriculturae et Silviculturae Mendelianae Brunensis1211-85162464-83102008-01-0156318720010.11118/actaun200856030187Searching for long memory effects in time series of central Europe stock market indicesLuboš Střelec0Ústav statistiky a operačního výzkumu, Mendelova zemědělská a lesnická univerzita v Brně, Zemědělská 1, 613 00 Brno, Česká republikaThis article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments. Source data are daily closing prices of Central Europe stock market indices – Bratislava stock index (SAX), Budapest stock index (BUX), Prague stock index (PX) and Vienna stock index (ATX) – in the period from January 1998 to September 2007. For analysed data R/S analysis is used to calculate the Hurst exponent. On the basis of the Hurst exponent is characterized formation and behaviour of analysed financial time series. Computed Hurst exponent is also statistical compared with his expected value signalling independent process. It is also operated with 5-day returns (i.e. weekly returns) for the purposes of comparison and identification nonperiodic cycles.https://acta.mendelu.cz/56/3/0187/Hurst exponentR/S analysisV-statisticlogarithmic ratiostock market index |
| spellingShingle | Luboš Střelec Searching for long memory effects in time series of central Europe stock market indices Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis Hurst exponent R/S analysis V-statistic logarithmic ratio stock market index |
| title | Searching for long memory effects in time series of central Europe stock market indices |
| title_full | Searching for long memory effects in time series of central Europe stock market indices |
| title_fullStr | Searching for long memory effects in time series of central Europe stock market indices |
| title_full_unstemmed | Searching for long memory effects in time series of central Europe stock market indices |
| title_short | Searching for long memory effects in time series of central Europe stock market indices |
| title_sort | searching for long memory effects in time series of central europe stock market indices |
| topic | Hurst exponent R/S analysis V-statistic logarithmic ratio stock market index |
| url | https://acta.mendelu.cz/56/3/0187/ |
| work_keys_str_mv | AT lubosstrelec searchingforlongmemoryeffectsintimeseriesofcentraleuropestockmarketindices |