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APPLICATION OF FRACTAL ANALYSIS METHOD FOR STUDYING STOCK MARKET |
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| รหัสดีโอไอ | |
| Creator | Sergey Vladislavovich Makletsov, Nadezhda Anatolevna Opokina, Ilnar Kasiymovich Shafigullin |
| Title | APPLICATION OF FRACTAL ANALYSIS METHOD FOR STUDYING STOCK MARKET |
| Contributor | - |
| Publisher | TuEngr.com |
| Publication Year | 2563 |
| Journal Title | International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies |
| Journal Vol. | 11 |
| Journal No. | 1 |
| Page no. | 11A01E: 1-10 |
| Keyword | R/S analysis, Fractal analysis, Hurst index, Fractal time series, Financial market, Volatility of financial series. |
| URL Website | http://TuEngr.com/Vol11_1.html |
| Website title | ITJEMAST V11(1) 2024 |
| ISSN | 2228-9860 |
| Abstract | The study of financial markets behaviour is an important part of the financial investments theory. The methods for analyzing the financial markets which have been established in the sixties and seventies of the last century are valid only during periods of stable market conditions. They are based on the assumption that the financial markets behaviour is subject to the normal distribution law. In the nineties of the last century, they began to look at this problem from the point of view of fractal analysis. It was observed that financial time series has the property of self-similarity. In the works of Mandelbrot (1983, 2006), the founder of fractal geometry, the behaviour of financial indicators in the market was considered as fractals. The book by E. Peters |
