Calculating Hurst exponent with the use of the siroky method in developed and emerging markets
Streszczenie
The purpose of the article This paper analysis Hurst exponents calculated with the use of the Siroky
method in two time intervals of 625 (H625) and 1250 (H1260) sessions for the following assets:
(the number of assets for a given group in brackets): Stock indices (74), currency pairs divided into
segments: USD exchange rate in relation to 42 other currencies (USDXXX), EURO exchange rate in
relation to 41 other currencies (EURXXX), JPY exchange rate in relation to 40 other currencies
(JPYXXX) and other currency pairs (12). In total, 209 financial instruments were analyzed.
Methodology: Hurst coefficient calculation with the use of the following methods; Siroky,
Detrended Moving Average (DMA) and Detrended Fluctuation Analysis (DFA).
Results of the research: The Hurst coefficient values calculated with the use of Siroky method are
similar to the results obtained using DFA and DMA methods. The second main conclusion that was
drawn from the research may be formulated as follows: exchange rates calculated for the
developed-developed country currencies are more effective than in the case of the developed-
-emerging countries group.
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