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Calculating Hurst exponent with the use of the siroky method in developed and emerging markets

dc.contributor.authorBorowski, Krzysztof
dc.contributor.authorMatusewicz, Michał
dc.date.accessioned2021-02-24T12:23:08Z
dc.date.available2021-02-24T12:23:08Z
dc.date.issued2020-09
dc.identifier.issn2353-5601
dc.identifier.urihttp://hdl.handle.net/11089/33852
dc.description.abstractThe 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.pl_PL
dc.language.isoenpl_PL
dc.publisherWydział Ekonomiczno-Socjologicznypl_PL
dc.relation.ispartofseriesFinanse i Prawo Finansowe;3
dc.rightsAttribution-NoDerivatives 4.0 Międzynarodowe*
dc.rights.urihttp://creativecommons.org/licenses/by-nd/4.0/*
dc.subjectHurst exponentpl_PL
dc.subjectmarket efficiencypl_PL
dc.subjectdeveloped countriespl_PL
dc.titleCalculating Hurst exponent with the use of the siroky method in developed and emerging marketspl_PL
dc.typeArticlepl_PL
dc.page.number25-61pl_PL
dc.contributor.authorAffiliationWarsaw School of Economicspl_PL
dc.contributor.authorAffiliationWarsaw School of Economicspl_PL
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dc.identifier.doi10.18778/2391-6478.3.27.02
dc.relation.volume27pl_PL
dc.disciplineekonomia i finansepl_PL


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