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Sustainable risk management: fuzzy approach to volatility and application on FTSE 100 index

Sinem Peker (), Manuela TvaronaviÄ ienÄ— () and Bora Aktan ()
Additional contact information
Sinem Peker: Yasar University, Turkey
Manuela TvaronaviÄ ienÄ—: Vilnius Gediminas Technical University, Lithuania

Entrepreneurship and Sustainability Issues, 2014, vol. 2, issue 1, 30-36

Abstract: 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)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:ssi:jouesi:v:2:y:2014:i:1:p:30-36

DOI: 10.9770/jesi.2014.2.1(4)

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