Hurst Exponent as a Risk Measurement on the Capital Market.
Anna CzarneckaZofia WilimowskaPublished in: ISAT (2) (2017)
Keyphrases
- hurst exponent
- decision making
- black scholes
- risk evaluation
- risk neutral
- financial crisis
- risk management
- portfolio management
- operational risk
- risk aversion
- risk assessment
- market data
- neural network
- risk factors
- financial markets
- investment strategies
- option pricing
- high risk
- minimum risk
- data sets
- asset allocation
- data acquisition
- risk analysis
- portfolio optimization
- stock exchange
- electricity markets
- market participants
- early warning
- stock market
- financial data