Stock exchange shares ranking and binary-ternary compressive coding

Igor Nesiolovskiy

Papers from arXiv.org

Abstract: This paper proposes a method for ranking the investment attractiveness of exchange-traded stocks where investment risk is not related to the volatility indicator but instead is related to the indicator of compression of the time series of price changes. The article describes in detail the ranking algorithm, provides an example of ranking the shares of all companies included in the Dow Jones stock index. The paper additionally compares the results of ranking these stocks by volatility and compression and also shows the strengths of the second indicator, which is formed using the method of binary-ternary compression of historical financial data.

Date: 2021-10
New Economics Papers: this item is included in nep-cmp, nep-cwa and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2201.11507 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2201.11507

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().