Application of Fractal Geometry in Studies of the Bulgarian Financial Market

Petar Rangelov
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Petar Rangelov: University of National and World Economy, Sofia, Bulgaria

Ikonomiceski i Sotsialni Alternativi, 2023, issue 2, 81-98

Abstract: The present study presents and summarizes in a condensed manner the basic postulates and concepts arising from the principles and ideas of fractal geometry, applied in the field of behavior and dynamics of financial markets. A comparative analysis has been made between the classic financial and statistical indicators for measuring and summarizing a certain state of the financial system, on one hand, and the main quantitative parameters resulting from the fractal analysis, on the other. In the last part, an analysis and test for fractality of the Bulgarian financial market has been made represented by the main stock index – SOFIX.

Keywords: fractal process; fractal dimension; Hurst exponent (search for similar items in EconPapers)
JEL-codes: C46 C58 G11 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:nwe:iisabg:y:2023:i:2:p:81-98

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