Fractal dimension of time series as a measure of investment risk

Witold Orzeszko ()

Acta Universitatis Nicolai Copernici, Ekonomia, 2010, vol. 41, 57-70

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.

Keywords: fractal dimension; variability of time series; investment risk; R/S analysis; segment-variation method. (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkanc:2010:p:57-70

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