Modified method of area division in fractal dimension estimation

被引：0
作者：
Bula, Rafal [1 ]
机构：
[1] Univ Econ, Dept Investment & Real Estate, Katowice, Poland
来源：
FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 11TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-III | 2017年
关键词：
Fractal dimension; risk assessment; segment-variation method; area-division method; EQUILIBRIUM; PRICES;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper is devoted to the problem of fractal dimension estimation of financial time series. Firstly, main drawbacks of the area-division method are revealed and described. Secondly, a few changes are proposed in order to improve essential features of fractal dimension estimates obtained when using this method. As a result the modified method of area division has been created and is discussed. Finally, superiority of the modified method over its initial version is presented.
引用
收藏
页码：131 / 142
页数：12
相关论文
共 28 条
  • [1] On modelling speculative prices: The empirical literature
    Andreou, E
    Pittis, N
    Spanos, A
    [J]. JOURNAL OF ECONOMIC SURVEYS, 2001, 15 (02) : 187 - 220
  • [2] [Anonymous], 1959, Efficient Diversification of Investments
  • [3] Borak S., 2005, SFB 649 DISCUSSION P, V8, P1
  • [4] Bula R., 2012, MLODZI NAUKOWCY DLA, P192
  • [5] Bula R., 2012, NOWE TRENDY NAUKACH, P248
  • [6] Bula R., 2017, NAUKI FINANSACH, V1
  • [7] BULA R, 2015, MEZHD NAUCHN K POSV, P217
  • [8] EVALUATING THE FRACTAL DIMENSION OF PROFILES
    DUBUC, B
    QUINIOU, JF
    ROQUESCARMES, C
    TRICOT, C
    ZUCKER, SW
    [J]. PHYSICAL REVIEW A, 1989, 39 (03) : 1500 - 1512
  • [9] THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS
    LINTNER, J
    [J]. REVIEW OF ECONOMICS AND STATISTICS, 1965, 47 (01) : 13 - 37
  • [10] VARIATION OF SOME OTHER SPECULATIVE PRICES
    MANDELBROT, B
    [J]. JOURNAL OF BUSINESS, 1967, 40 (04) : 393 - 413
123