Application of the Hurst coefficient, calculated with the use of the Siroky method on financial markets

The paper analyses the Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 and 1250 sessions for the group of 570 financial instruments (Warsaw Stock Exchange equities – 320, equity indexes – 7, commodities – 41, and FX market – 135). The study also covers an analysis of the normality of the distribution of logarithmic rates of return, and the verification of statistical hypotheses with the use of the following statistical tests: Jarque-Bera (JB), Shapiro-Wilk (SW), and d’Agostino-Pearson (DA).In the second part of the paper, the change of the Hurst coefficient over time was analysed, while in the third part two linear regressions of the form H(t) = a + m ∙ t were performed for each of the analysed assets, as well as the determination factor R2. This part of the study aims to answer the question whether the slope of the regression line has a positive or negative value and what the quality of such a fit is with the use of linear regression. Such an analysis enables to observe changes in the fractal dimension, and thus the risk in financial markets over a long period of time.The main conclusion that was drawn from the research may be formulated as follows: the value of the H exponents decreased in the analysed time windows, which means an increase in the fractal dimension (d), and thus the investment risk in financial markets. The obtained results can be used in the process of constructing an investment portfolio in financial markets.The research is part of the ongoing discussion on the effectiveness of financial markets

Calculating Hurst exponent with the use of the siroky method in developed and emerging markets

The purpose of the article This paper analysis Hurst exponents calculated with the use of the Siroky method in two time intervals of 625 (H625) and 1250 (H1260) sessions for the following assets: (the number of assets for a given group in brackets): Stock indices (74), currency pairs divided into segments: USD exchange rate in relation to 42 other currencies (USDXXX), EURO exchange rate in relation to 41 other currencies (EURXXX), JPY exchange rate in relation to 40 other currencies (JPYXXX) and other currency pairs (12). In total, 209 financial instruments were analyzed. Methodology: Hurst coefficient calculation with the use of the following methods; Siroky, Detrended Moving Average (DMA) and Detrended Fluctuation Analysis (DFA). Results of the research: The Hurst coefficient values calculated with the use of Siroky method are similar to the results obtained using DFA and DMA methods. The second main conclusion that was drawn from the research may be formulated as follows: exchange rates calculated for the developed-developed country currencies are more effective than in the case of the developed- -emerging countries group

Ocena migracji składników gazu ziemnego w złożu Borzęcin na podstawie wyników analiz izotopów trwałych wodoru i węgla

Jedna z pierwszych instalacji EGR (ang. Enhanced Gas Recovery – wzmożonego wydobycia gazu) na świecie funkcjonuje na złożu Borzęcin (SW Polska). Instalacja umożliwia zebranie doświadczenia w rozwoju technologii CCS (ang. Carbon Capture and Storage – wychwyt, transport oraz trwała izolacja CO2) na skalę przemysłową. Ze względu na niewielkie rozmiary złoża technologia ta daje możliwość rozwoju badawczego EGR, przy czym wszystkie procesy związane z zatłaczaniem ditlenku węgla i siarkowodoru są możliwe do obserwacji w stosunkowo niedługiej skali czasu. Głównym celem badań była próba oceny migracji zatłaczanych gazów poprzez pobór i analizę izotopów trwałych wodoru i węgla w gazach z poszczególnych otworów wiertniczych. Dzięki uzyskanym wynikom możliwa jest ocena migracji składników gazu ziemnego w złożu Borzęcin. W rezultacie przeprowadzonych badań otrzymano nowe narzędzie do oceny efektywności wzmożonej eksploatacji gazu, które następnie może być zastosowane w technologiach związanych z CCS. Skład izotopowy wodoru (n = 63) w metanie mieścił się w zakresie od –159,3‰ do –85,2‰ (średnia –114,6‰), a skład izotopowy węgla (n = 92) w tym metanie wyniósł od –46,93‰ do –17,87‰ (średnia –35,22‰). Skład izotopowy węgla (n = 88) w ditlenku węgla osiągnął wartość od –23,33‰ do –3,11‰ (średnia –13,35‰). One of the first installations in the World, based on the EGR (Enhanced Gas Recovery) operates in Borzecin (SW Poland). Thus creating the opportunity to gather experience in the development of CCS (Carbon Capture and Storage) on an industrial scale. Due to the small size of the deposit, the technology allows great research opportunity to develop Enhanced Gas Recovery and all the processes associated with the injection of CO2 and H2S are possible to observe in a relatively short time scale. The main goal of the research is tracing migration fronts of injected gases threw sampling and isotopic analysis of gases from numeral boreholes. Gathered results gave the opportunity to get an appraisal of gas migration in the Borzecin półdeposit. Consequently a new tool for Enhanced Gas Recovery efficiency might be constructed with the potential of being applied in CCS technologies. Isotopic composition of hydrogen (n = 63) in methane varied from –159.3 to –85.2‰ (average –114.6‰) and isotopic composition of carbon including methane (n = 92) varied from –46.93 to –17.87‰ (average –35.22‰). Isotopic composition of carbon in carbon dioxide (n = 88) varied from –23.33 to –3.11‰ (average –13.35‰)

Eurozone and global financial crisis

This article examines the eurozone’s economic condition in the context of the subprime crisis and European debt crisis with particular emphasis on their negative impact on the national economies. The author first looks at the primary causes of the subprime crisis, then gauges its evolution and impact. Next, he focuses on the debt crisis that has severely affected the European Monetary Union (EMU) and the eurozone member states. The article concludes with a brief discussion of the crises implications for Poland and its forthcoming access to eurozone

The microstructure of bentonite clay

Bentonite is a common clay having many applications. One of them will be in the spent nuclear fuel repository, as a buffer material between host rock and the canisters containing the radioactive waste. This application has high requirements for the material used, ranging from, among others, appropriate mechanical properties, chemical stability, fine porous structure to sufficient hydraulic conductivity. The material should maintain its properties over time as the life span of the repository is hundreds of thousands years. The aim of this thesis was to investigate the structure of bentonite clay in a condition similar to expected in the repository. The research focused mainly on the pore structure, and if the existence of narrow, slit-like pores between clay layers influenced the pore water properties. Several experimental methods had been employed: small-angle X-ray scattering, transmission electron microscopy, atomic force microscopy, nuclear magnetic resonance and anion exclusion measurement. MX-80 bentonite was the main material studied, but sodium and calcium montmorillonites obtained by purification of MX-80 were used as a simplified study case. Several sample preparation routines have been tested. Additionally, MX-80 bentonite from long-term experiment was analysed and the results were compared to those obtained in short-time experiments. It was shown that the purification process significantly alters the clay structure, making the purified clay unsuitable as simplified analogue of natural bentonite in structural studies. The influence of different preparation procedures on clay microstructure was decreasing with increasing compaction of the samples. Porosity had been characterised using interlamellar and non-interlamellar porosity. With the increase of density, as total porosity of the sample decreases, the proportion of interlamellar porosity increases

Atrakcyjność inwestowania na rynku whisky inwestycyjnej

Alternative investment gains in importance especially when financial markets experience high levels of volatility and turmoil. In addition, because of low correlation coefficient between rates of return for alternative investments and rates of return on the stock or bond market, alternative investments can be added to investment portfolios to boost their effectiveness. Investment whisky market is slowly emerg- ing as one of popular alternative investment segments, together with real estate, works of art, diamonds, and investment wine. The comparison of rates of return in this segment with other financial market segments is difficult due to lower liquidity of the whisky market than that of the stock or bond markets. The above explains why we decided to apply three whisky market indices: Vintage 50, ICON 100, and Japanese ICON 100 on a monthly basis. The results obtained are among the first ones ever available in the Polish market. In many instances they confirmed the results of other surveys conducted in the global market with regard to investment wine but in some aspects they contradicted them.Inwestycje alternatywne zyskują na znaczeniu zwłaszcza w okresie perturbacji na rynkach finansowych. Ponadto z uwagi na niski współczynnik korelacji stóp zwrotu aktywów alternatywnych ze stopami zwrotu na rynku akcji czy też obligacji, mogą one być dodawane do portfeli inwestycyjnych w celu zwiększania efektywności tak skonstruowanych portfeli. Jednym z popularnych segmentów inwestycji alternatywnych, obok nieruchomości, dzieł sztuki, diamentów i win inwestycyjnych, powoli staje się rynek whisky inwestycyjnej. Porównanie stóp zwrotu w tym właśnie segmencie z innymi segmentami rynku finansowego jest utrudnione z uwagi mniejszą płynność rynku whisky niż chociażby akcji czy obligacji. Dlatego też zdecydowano się na zastosowanie trzech indeksów rynku whisky: Vintage 50, ICON 100 i Japanese ICON 100 w ujęciu miesięcznym. Uzyskane wyniki można zaliczyć do jednych z pierwszych na rynku polskim. W wielu przypadkach potwierdziły one inne badania z rynku świato¬wego dotyczące win inwestycyjnych, a z kolei w innych - zaprzeczyły im

The Attractiveness of Investing in Whisky Market

Inwestycje alternatywne zyskują na znaczeniu zwłaszcza w okresie perturbacji na rynkach finansowych. Ponadto z uwagi na niski współczynnik korelacji stóp zwrotu aktywów alternatywnych ze stopami zwrotu na rynku akcji czy też obligacji, mogą one być dodawane do portfeli inwestycyjnych w celu zwiększania efektywności tak skonstruowanych portfeli. Jednym z popularnych segmentów inwestycji alternatywnych, obok nieruchomości, dzieł sztuki, diamentów i win inwestycyjnych, powoli staje się rynek whisky inwestycyjnej. Porównanie stóp zwrotu w tym właśnie segmencie z innymi segmentami rynku finansowego jest utrudnione z uwagi mniejszą płynność rynku whisky niż chociażby akcji czy obligacji. Dlatego też zdecydowano się na zastosowanie trzech indeksów rynku whisky: Vintage 50, ICON 100 i Japanese ICON 100 w ujęciu miesięcznym. Uzyskane wyniki można zaliczyć do jednych z pierwszych na rynku polskim. W wielu przypadkach potwierdziły one inne badania z rynku światowego dotyczące win inwestycyjnych, a z kolei w innych - zaprzeczyły im.Alternative investment gains in importance especially when financial markets experience high levels of volatility and turmoil. In addition, because of low correlation coefficient between rates of return for alternative investments and rates of return on the stock or bond market, alternative investments can be added to investment portfolios to boost their effectiveness. Investment whisky market is slowly emerg- ing as one of popular alternative investment segments, together with real estate, works of art, diamonds, and investment wine. The comparison of rates of return in this segment with other financial market segments is difficult due to lower liquidity of the whisky market than that of the stock or bond markets. The above explains why we decided to apply three whisky market indices: Vintage 50, ICON 100, and Japanese ICON 100 on a monthly basis. The results obtained are among the first ones ever available in the Polish market. In many instances they confirmed the results of other surveys conducted in the global market with regard to investment wine but in some aspects they contradicted them

The day-of-the-week effect on the example of 82 cryptocurrencies

The problem of the effectiveness of financial markets has been the subject of interest of scientists for many years. Recently, along with the development of the cryptocurrency market, research on the effectiveness of this fragment of the financial market has begun. In the article, the occurrence of the day of the week was analyzed on the example of logarithmic rates of return of 82 cryptocurrencies vs. USD. Not only Close-Close return rates were analyzed, but also Overnight, Open-Open and Open-Close. The distribution of logarithmic rates of return was not normal for most of the cryptocurrencies analyzed. That why in the statistical analysis the Kruskal-Wallis parametric test was implemented. For individual cryptocurrencies, the occurrence of inefficiency was found for different days of the week and different types of return rates (C-C, Ov, O-C and O-O). The largest number of rejections of the null hypothesis took place for the following cryptocurrencies (the least effective cryptocurrencies): Aelf, Aeternity and Aion. No example of ineffectiveness was discovered in the case of cryptocurrencies:Ark, Basic Attention, Bitcoin, Bitcoin Gold, Cindicator, Dash, Denta Coin, Digixdao, Dogecoin, Electroneum, Enigma, EOS, Ethereum, Gas, Gnosis, Golem, Kucoin, Kyber Network, Lisk, Litecoin, Maidsafecoin, Monacoin, Neblio, OmiseGo, Tron, Wax

Environmentally friendly method for regeneration of copper chloride acidic solutions used in etching of printed circuits

Etching of copper with acidic CuCl2 solution is a widely used chemical method in printed circuits production. During the process, the solution is enriched in Cu(I) ions, resulting in reduction and then loss of etching bath capacity. In order to ensure the required etching kinetics, the solution is regenerated by oxidation of Cu(I) to Cu(II). The industrially applied Cu(I) oxidants are, e.g.: Cl2, chlorates. Their application is expensive and associated with drawbacks related to health, safety and environmental hazards (e.g. Cl2 emission). In the result of long-standing cooperation between the IMN and MATUSEWICZ Budowa Maszyn, an innovative, original and environmentally friendly method of acidic solutions regeneration used during printed circuits etching was developed. A new-type reactor equipped with oxidation monitoring-control systems using oxygen or oxygen-enriched air was applied. The reactor construction enables to run the process with oxygen circulation in the reactor, ensures full oxygen utilisation in the regeneration process, achievement of the required performance and process rate, and eliminates expensive, hazardous and often toxic reagents. This is an innovative method, and since there are no analogous technologies currently known and used in Europe and worldwide, the presented method is technologically, economically and ecologically unrivalled