Fractal dimension of time series as a measure of investment risk
Journal Title: Acta Universitatis Nicolai Copernici, Ekonomia - Year 2010, Vol 41, Issue 1
Abstract
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.
Authors and Affiliations
Witold Orzeszko
Keywords
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- EP ID EP129811
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