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Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali
[Influence of financial crisis on Hurst exponent estimates - fractal analysis of selected metals prices]

Author

Listed:
  • Buła, Rafał

Abstract

The main purpose of this article is to prove that prices of selected metals quoted at London Metal Exchange could be described as biased random walks. In this paper hypothesis of black noise character of returns is verified (sequences are observed more frequently than reversals). Exploiting Hurst’s method of rescaled range author confirms that analyzed financial time series are characterized by 4-year nonperiodic cycle. Moreover influence of world financial crisis on stability of calculated estimates is assessed.

Suggested Citation

  • Buła, Rafał, 2012. "Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali [Influence of financial crisis on Hurst exponent estimates - fractal analysis of selected metals ," MPRA Paper 59710, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:59710
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    File URL: https://mpra.ub.uni-muenchen.de/59710/1/MPRA_paper_59710.pdf
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    References listed on IDEAS

    as
    1. 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.
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    More about this item

    Keywords

    Rescaled range analysis; Hurst exponent; fractal dimension; financial crisis;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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