TY  - BOOK
A1  - Kunze, Karl-Kuno
A1  - Strohe, Hans Gerhard
T1  - Time-varying persistence in the German stock market
N2  - This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is calculated for moving windows of length 4, 8, and 16 years for every time series. Periods of persistence or long memory in returns can be found in some but not all time series. Robustness of results is verified by investigating stationarity and short memory effects.
T3  - Statistische Diskussionsbeiträge - 37 
KW  - Persistenz
KW  - Aktienmarkt
KW  - persistence
KW  - stock market
Y1  - 2010
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-42046
ER  - 
TY  - BOOK
A1  - Kauper, Benjamin
A1  - Kunze, Karl-Kuno
T1  - Modellierung von Aktienkursen im Lichte der Komplexitätsforschung
N2  - This paper offers empirical evidence on the power of Sornette et al's [2001] model of bubbles and crashes regarding the German stock market between 1960 and 2009. We identify relevant time periods and describe them with the function given by Sornette et al's model. Our results show some evidence in predicting crashes with the understanding of logarithmic periodic structures that are hidden in the stock price trajectories. It was shown that for the DAX most of the relevant parameters determining the shape of the logarithmic periodic structures are lying in the expected interval researched by Sornette et al. Further more the paper implicitly shows that the point of time of former crashes can be predicted with the presented formula. We conclude that the concept of financial time series conceived as purely random objects should be generalised as to admit complexity.
T3  - Statistische Diskussionsbeiträge - 49 
KW  - Bubble Theory
KW  - Complexity Sciences
KW  - Crash Prediction
KW  - Econophysics
KW  - Nonlinear Dynamics
KW  - System Theory
Y1  - 2011
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-52285
ER  - 
TY  - BOOK
A1  - Kunze, Karl-Kuno
A1  - Strohe, Hans Gerhard
T1  - Antipersistence in German Stock Returns
T3  - Statistische Diskussionsbeiträge
Y1  - 2010
SN  - 0949-068x
VL  - 39
PB  - Univ.
CY  - Potsdam
ER  -