Work

Crisis and financial data properties: A persistence view

Year: 2018

Type: article

Abstract: This paper investigates persistence in Ukrainian financial data during the recent local crisis of 2013-2015.Using R/S analysis with the Hurst exponent method and its dynamic modification we show that data properties (case of persistence) are unstable and vary over time.Persistence increases dramatically during the crisis periods.These results can be used both to predict crises at early stages and to model financial data with the appropriate methods: to determine models for the cases of persistent data and stochastic ones for the cases of nonpersistent data.It is concluded that financial markets become less efficient during crises.

Source: JOURNAL OF INTERNATIONAL STUDIES

DOI: 10.14254/2071-8330.2018/11-3/22

Authors: Alex Plastun, Inna Makarenko, Yuliia Yelnikova, Аsiiat Sheliuk

Institution: Sumy State University

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

Funder: Ministry of Education and Science of Ukraine

Award: G1727184424