In this paper we analyse a temporal evolution of the Hurst exponent estimated on hourly returns of intraday electricity prices in the Czech Republic in 2017 and 2018. Firstly we used the log-returns with adjustments due to negative values, and secondly we employed the returns based on the area...

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long-term dependence" and the "catastrophe propensity"...

Deriving a functional form for a series of prices over time is difficult. It is common to assume some linearly estimable form for prediction purposes. While this can produce accurate short run forecasts it fails to identify longer trends and patterns that may exist in financial data....

This study aims to analyze the volatility structure of Bitcoin returns, which became a popular investment after 2009. The Fractal Market Hypothesis (FMH) is chosen as the instrument to investigate the issue. By testing this hypothesis, the sudden price fluctuations in Bitcoin returns were tried...

The paper deals with maritime risk, which we consider important, no doubt, for ship-owners acting in volatile markets. Traditionally, risk is measured by "standard deviation". Other risk measures like "excess kurtosis", "excess skewness", "long-term dependence" and the "catastrophe propensity"...