Prediction of crisis in the stock market
DOI:
https://doi.org/10.15587/2313-8416.2015.41409Keywords:
stock markets, stock indices, Hurst exponent, indicators, crisisAbstract
The article deals with the search of crisis indicators on the stock markets. Based on R/S analysis it is revealed that the pre-crisis period varies fractal dimension of the space of empirical data, namely changing the nature of the object under study. Dimension of the space is proposed to use as an indicator of the negative trend
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