Fractality of Borsa Istanbul during the COVID-19 Pandemic

被引：18
作者：
Balci, Mehmet Ali [1 ]
Batrancea, Larissa M. [2 ]
Akguller, Omer [1 ]
Gaban, Lucian [3 ]
Rus, Mircea-Iosif [4 ]
Tulai, Horia [5 ]
机构：
[1] Mugla Sitki Korman Univ, Dept Math, TR-48000 Mugla, Turkey
[2] Babes Bolyai Univ, Dept Business, 7 Horea St, Cluj Napoca 400174, Romania
[3] 1 Decembrie 1918 Univ Alba Iulia, Fac Econ, 1517 Unirii St, Alba Iulia 510009, Romania
[4] Natl Inst Res & Dev Construct Urbanism & Sustaina, 117 Calea Floresti, Cluj Napoca 400524, Romania
[5] Babes Bolyai Univ, Dept Econ & Business Adm, 5860 Teodor Mihali St, Cluj Napoca 400591, Romania
来源：
MATHEMATICS | 2022年 / 10卷 / 14期
关键词：
fractal dimension; time series analysis; financial markets; STOCHASTIC VOLATILITY; DIMENSION; TURBULENCE; DYNAMICS; ESTIMATORS; EFFICIENCY; ENTROPY; MARKETS; MODELS; MEMORY;
D O I：
10.3390/math10142503
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Forecasting price changes is very important for the process of estimating and managing market risk in financial markets. Price changes in financial markets may also depend on non-market factors. Considering this situation, the study investigates the effect of the COVID-19 pandemic on Borsa Istanbul. It tackles changes in the fractal dimensions of the time series obtained with the daily closing prices of stocks traded on Borsa Istanbul (BIST). According to the results of the sector-based analysis, we found that fractal dimension changes were quite effective in price estimation.
引用
收藏
页数：33
相关论文
共 50 条
  • [21] Factors associated with depression in pregnant women during the COVID-19 pandemic
    Silverio, Vanessa Maculan
    Sabe, Elias
    Silva, Viviane Costa
    Nakamura, Luiz Ricardo
    Ramires, Thiago Gentil
    Melo, Roger Almeida Pereira
    SIGMAE, 2024, 13 (04): : 243 - 252
  • [22] The Effect of Visitors on Zoo Reptile Behaviour during the COVID-19 Pandemic
    Carter, Kimberley C.
    Keane, Isabel A. T.
    Clifforde, Lisa M.
    Rowden, Lewis J.
    Fieschi-Meric, Lea
    Michaels, Christopher J.
    Monfort, Steven
    JOURNAL OF ZOOLOGICAL AND BOTANICAL GARDENS, 2021, 2 (04): : 664 - 676
  • [23] Defying the Rally During COVID-19 Pandemic: A Regression Discontinuity Approach
    Shino, Enrijeta
    Binder, Michael
    SOCIAL SCIENCE QUARTERLY, 2020, 101 (05) : 1979 - 1994
  • [24] Response to anxiety treatment before, during, and after the COVID-19 pandemic
    Rosmarin, David
    Pirutinsky, Steven
    PLOS ONE, 2024, 19 (03):
  • [25] Individual costs and societal benefits of interventions during the COVID-19 pandemic
    Traulsen, Arne
    Levin, Simon A.
    Saad-Roy, Chadi M.
    PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, 2023, 120 (24)
  • [26] Contagion between selected European indexes during the Covid-19 pandemic
    Gurgul, Henryk
    Syrek, Robert
    OPERATIONS RESEARCH AND DECISIONS, 2023, 33 (01) : 47 - 59
  • [27] The Chaotic Behavior of the Spread of Infection during the COVID-19 Pandemic in Japan
    Sapkota, Nabin
    Murata, Atsuo
    Karwowski, Waldemar
    Davahli, Mohammad Reza
    Fiok, Krzysztof
    Aljuaid, Awad M.
    Marek, Tadeusz
    Ahram, Tareq
    INTERNATIONAL JOURNAL OF ENVIRONMENTAL RESEARCH AND PUBLIC HEALTH, 2022, 19 (19)
  • [28] Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic
    Farid, Saqib
    Kayani, Ghulam Mujtaba
    Naeem, Muhammad Abubakr
    Shahzad, Syed Jawad Hussain
    RESOURCES POLICY, 2021, 72
  • [29] Remarks on the behaviour of financial market efficiency during the COVID-19 pandemic. The case of VIX
    Dima, Bogdan
    Dima, Stefana Maria
    Ioan, Roxana
    FINANCE RESEARCH LETTERS, 2021, 43
  • [30] The heterogeneous response of real estate prices during the Covid-19 pandemic
    Heiniger, Sandro
    Koeniger, Winfried
    Lechner, Michael
    JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES A-STATISTICS IN SOCIETY, 2024,
12345