FINANCIAL VOLATILITY MEASUREMENT USING FRACTAL DIMENSION

Daniela Alexandra Crișan ()
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Daniela Alexandra Crișan: Romanian-American University

Journal of Information Systems & Operations Management, 2015, vol. 9, issue 1, 95-102

Abstract: Financial volatility measures the variation of the price of a financial instrument over time. It is a very important instrument for both financial analysts and investors, as it is a measure of assets (un)stability. There have been previous attempts of using fractal analysis in estimating the financial volatility. In this paper, the author will experiment the use of an image processing technique, computing the fractal "box-counting" dimension of the time series corresponding to an asset price. The fractal dimensions of 20 pairs of assets will be compared in order to describe their volatility. An original software application developed by the author for fractal processing purposes was used.

Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:rau:jisomg:v:9:y:2015:i:1:p:95-102

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