Fractal dimension of time series as a measure of investment risk
Journal Title: Acta Universitatis Nicolai Copernici, Ekonomia - Year 2010, Vol 41, Issue 1
Abstract
A concept of fractal dimension as a measure of risk in securities trading is presented in this paper. The two methods of calculating fractal dimension of time series – R/S analysis and segment-variation method are described and applied to indices of the Warsaw Stock Exchange.
Authors and Affiliations
Witold Orzeszko
Keywords
Related Articles
- EP ID EP129811
- DOI -
- Views 110
- Downloads 0
Public finance reform – circumstances and solutions
The Polish economy really didn’t suffer seriously in most hard period of crisis on financial markets and in world economy. However, crisis has emphasized defects in regulating solutions and it has contributed to more cri...
Accumulative prediction error as a method of model selection
The purpose of the paper is to present and apply the accumulative one-step-ahead prediction error (APE) not only as a method (strategy) of model selection, but also as a tool of model selection strategy (meta-selection)...
The Costs of Sovereign Debt and Default
This paper summarizes the results of empirical studies on the effects of sovereign debt, deficit and default on the economy. The obtained results shows that excessive debt and deficit are very harmful for economic growth...
Markov decision processes and determining the exchange rate
The paper describes the theoretical foundations of Markov decision processes (MDP), presents the exchange market located in Torun's Old Town, with particular emphasis on tested exchange, and describes a simple model for...
Innovation policy in Poland
The innovation has gained tremendous importance amongst scientists, politicians, and entrepreneurs since it was identified as the key factor of the economic growth and competitiveness. In order for innovation processes t...