Fractal dimension of time series as a measure of investment risk

A concept of fractal dimension as a measure of risk in securities trading is presented in this paper. The two methods of calculating fractal dimension of time series – R/S analysis and segment-variation method are described and applied to indices of the Warsaw Stock Exchange.

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Year of publication:	2010
Authors:	Orzeszko, Witold
Published in:	Acta Universitatis Nicolai Copernici, Ekonomia. - Uniwersytet Mikolaja Kopernika. - Vol. 41.2010, p. 57-70
Publisher:	Uniwersytet Mikolaja Kopernika
Subject:	fractal dimension \| variability of time series \| investment risk \| R/S analysis \| segment-variation method

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010610809