A study of the crash of Chinese stock market using local Hurst index idea
Xiaohong Quan · Beijing Youdian Xueyuan xuebao · 2006
This paper,according to the closing price of compositive indexes in Shanghai and Shenzhen Stock Markets,introducing the idea of local Hurst index,verifies that the tendency of local Hurst index of the closing price of compositive index conforms to the law of before crash,and also the puts forward the following points of view: the time between the beginning of the continually falling and the end of crash is over two weeks and maybe there is a short interval between the end of and the beginning of crash.