Szacowanie i interpretacja wykładnika Hursta dla danych giełdowych

• Autorzy: Grzegorz Przekota

Warianty tytułu

Estimation and Interpretation of Hurst's Index for Stock-exchange Data

• Języki publikacji: PL

Abstrakty

Omówiono ideę powstania i funkcjonowania wykładnika Hursta oraz algorytm jego obliczania i interpretację. Pokazano sposób wykorzystania wykładnika Hursta do analizy zachowań cen akcji spółek giełdowych na przykładzie Warszawskiej Giełdy Papierów Wartościowych. (abstrakt oryginalny)

EN

For most investors an extremely important problem is how to qualify the properties of the time series of share prices. The correct calculation can contribute to talking the correct decisions by investors and help to archive the profit bigger than average. So far the researches recognize hypothesis of efficiency of the capital market as correct. However, some publications appeared which challenge this opinion. An alternative to the hypothesis of the capital market efficiency is the market in which there is a long-term relationship between data. Although Hurst's index which is an instrument created for investigating this fact has long been known, it still is not popular among a vast group of investors. It has been shown in the paper how to use this method to identify the properties of time series. Statistic properties of the time series of share prices are said to vary in time. It means that there are periods in which prices are random and those in which prices are subject to long-term relationship. The important problem dealt with in the paper is statistical verification of the properties of series being found. (original abstract)

Słowa kluczowe

PL

Ceny akcji; Spółki giełdowe; Szeregi czasowe; Indeks giełdowy; Warszawski Indeks Giełdowy (WIG)

EN

Shares prices; Stock market companies; Time-series; Stock market indexes; Warsaw Stock Exchange Index

• Czasopismo: Badania Operacyjne i Decyzje
• Rocznik: 2002
• Numer: nr 3-4
• Strony: 109--117

Twórcy

autor

Grzegorz Przekota

• Politechnika Koszalińska

Bibliografia

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