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

页码：131 / 142

页数：12

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