ANALIZAWŁAŚCIWOŚCI FRAKTALNYCH SZEREGÓW CZASOWYCH WYBRANYCH INDEKSÓW GIEŁDOWYCH
THE ANALYSIS OF FRACTAL PROPERTIES FOR TIME SERIES OF SOME MARKET INDICES
Author(s): Zuzanna RzeszótkoSubject(s): Economy, Methodology and research technology, Financial Markets, ICT Information and Communications Technologies
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: embedding dimension; correlation sum; fractal dimension; rescaled range analysis;
Summary/Abstract: In this work a few methods of experimental data analysis have been applied to identify deterministic chaos in the behaviour of some financial time series. The value of the Hurst exponent, the length of cycle, the generalized fractal dimension and the minimal number of variables, fully characterizing the given dynamical system have been estimated. The calculations have been done by use of computer algebra system Mathematica. The aim of the author was to work out the methodology of investigation for fractal properties in empirical time series using this computer programme.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XVII/2016
- Issue No: 3
- Page Range: 131-141
- Page Count: 11
- Language: Polish