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Hurst Exponent as a Risk Measurement on the Capital Market

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Information Systems Architecture and Technology: Proceedings of 38th International Conference on Information Systems Architecture and Technology – ISAT 2017 (ISAT 2017)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 656))

Abstract

There are many methods, which can be used to analyze risk on the capital market. This paper describes several approaches to risk analysis and then attempts to create a risk prediction model. In the conclusion one can see that it’s possible to minimize the investment risk by using Hurst exponent.

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Author information

Authors and Affiliations

  1. Wrocław University of Science and Technology, Wrocław, Poland

    Anna Czarnecka

  2. Państwowa Wyższa Szkoła Zawodowa Nysa, Nysa, Poland

    Zofia Wilimowska

Authors
  1. Anna Czarnecka
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  2. Zofia Wilimowska
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Corresponding author

Correspondence to Anna Czarnecka .

Editor information

Editors and Affiliations

  1. Department of Computer Science, Faculty of Computer Science and Management, Wrocław University of Science and Technology, Wrocław, Poland

    Jerzy Świątek

  2. Department of Computer Science, Faculty of Computer Science and Management, Wrocław University of Science and Technology, Wrocław, Poland

    Leszek Borzemski

  3. Department of Management Systems, Faculty of Computer Science and Management, Wrocław University of Science and Technology, Wrocław, Poland

    Zofia Wilimowska

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Czarnecka, A., Wilimowska, Z. (2018). Hurst Exponent as a Risk Measurement on the Capital Market. In: Świątek, J., Borzemski, L., Wilimowska, Z. (eds) Information Systems Architecture and Technology: Proceedings of 38th International Conference on Information Systems Architecture and Technology – ISAT 2017. ISAT 2017. Advances in Intelligent Systems and Computing, vol 656. Springer, Cham. https://doi.org/10.1007/978-3-319-67229-8_32

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  • DOI: https://doi.org/10.1007/978-3-319-67229-8_32

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-67228-1

  • Online ISBN: 978-3-319-67229-8

  • eBook Packages: EngineeringEngineering (R0)

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