Estimating the risk of changes in stock prices by field division (Szacowanie ryzyka zmian cen akcji metod¹ podzialu pola)

Grzegorz Przekota ()
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Grzegorz Przekota: Instytut Ekonomii i Zarzadzania, Politechnika Koszalinska

Problemy Zarzadzania, 2012, vol. 10, issue 39, 178-187

Abstract: This work concerns the problem of risk measurement in share prices. The classic measures are the most popular: variance, standard deviation and coefficient of variation. Among the most popular non-classical measure is the fractal dimension, including the Hurst exponent. The paper proposes an alternative method of calculating the fractal dimension of time series. It determines how strongly the time series fulfills its space and is used inter alia for the characterization of stock market data series due to the degree of “fraying”. Fractal dimension was calculated for time series trading stock indices WIG and WIG20 in 2008-2011. The results can be interpreted easily and refer them to a series of graphic presentation, which is important in practical applications.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:10:i:39:y:2012:p:178-187

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