Munich Personal RePEc Archive

Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali

Buła, Rafał (2012): Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali. Published in: Gospodarka rynkowa w warunkach kryzysu (2012): pp. 312-323.

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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.

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