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Title Crisis and financial data properties: A persistence view
Authors Plastun, Oleksii Leonidovych  
Makarenko, Inna Oleksandrivna  
Yelnikova, Yuliia Vasylivna
Sheliuk, Asiiat Ashurbiekivna
Keywords персистентність
персистентность
persistence
R/S аналіз
R/S analysis
показник Херста
Hurst exponent
Type Article
Date of Issue 2018
URI http://essuir.sumdu.edu.ua/handle/123456789/71193
Publisher Foundation of International Studies
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Citation Crisis and financial data properties: A persistence view [Text] / A. Plastun, I. Makarenko, Yu. Yelnikova, А. Sheliuk // Journal of International Studies. 2018. - Vol. 11, Issue 3. - P. 284-294. - DOI:10.14254/2071-8330.2018/11-3/22.
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.
Appears in Collections: Наукові видання (ННІ БТ)

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