IN THE EYE OF THE STORM: UNCOVERING FRACTALITY IN GREEK BANK DEPOSITS DURING CRISIS

Theodoros Daglis, Vassilios Constantoudis and Panayotis Michaelides
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Theodoros Daglis: University of Aegean, Syros 84100, Greece2Agricultural University of Athens, Athens 11855, Greece
Vassilios Constantoudis: Institute of Nanoscience and Nanotechnology, NCSR Demokritos, Agia Paraskevi, Athens, Greece

FRACTALS (fractals), 2023, vol. 31, issue 05, 1-12

Abstract: In this work, we analyze the high-frequency time series of the deposits collected from the systemic biggest Greek banks during the recent economic crisis in Greece. Our focus has been to reveal hidden fractal and periodic patterns using a hybrid approach, which combines correlation and frequency analysis of the original and difference series in a synergistic manner. We find that during the first period of the recorded series featured by the dramatic decrease of deposits, the short time behavior exhibits Brownian motion characteristics with fractal dimension close to 1.5, while a cyclical pattern of monthly repetition (21 days) is detected in the difference series to bound fractal behavior. The Brownian property is also observed in the second uprising segment of deposit series, but it lasts more (50 days) and no well-defined cyclical pattern is detected. Our work reveals that the economic crisis in Greece has gradually eroded the cyclical behavior of daily differences in bank deposits, while maintaining a short-term Brownian motion pattern, albeit with an increased duration.

Keywords: Banks; Brownian Motion; Deposits; Fractality; Greece (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:fracta:v:31:y:2023:i:05:n:s0218348x23500524

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DOI: 10.1142/S0218348X23500524

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