Sustainable risk management: fuzzy approach to volatility and application on FTSE 100 index
Sinem Peker (),
Manuela Tvaronavičienė () and
Bora Aktan ()
Additional contact information
Sinem Peker: Yasar University, Turkey
Manuela Tvaronavičienė: Vilnius Gediminas Technical University, Lithuania
Entrepreneurship and Sustainability Issues, 2014, vol. 2, issue 1, 30-36
In this paper, a fuzzy volatility labeling algorithm is offered to detect the periods with abnormal activities on daily share returns. Considering the vagueness in the switches of the time periods, the membership functions of high and normal volatility classes are introduced. In the assignments, both the density structure and membership degree are used. It is believed that this algorithm may be helpful to construct different estimation models for the time periods with normal and abnormal activities. Authors offer algorithm, which can be used as a tool for sustainable risk management.
Keywords: volatility; FTSE; clustering; fuzzy number; labeling (search for similar items in EconPapers)
JEL-codes: C10 G00 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://jssidoi.org/jesi/uploads/articles/5/Peker_ ... n_FTSE_100_index.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ssi:jouesi:v:2:y:2014:i:1:p:30-36
Access Statistics for this article
Entrepreneurship and Sustainability Issues is currently edited by Manuela Tvaronaviciene
More articles in Entrepreneurship and Sustainability Issues from VsI Entrepreneurship and Sustainability Center
Bibliographic data for series maintained by Manuela Tvaronaviciene ().