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Fractal dimension of time series as a measure of investment risk

Author

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  • Witold Orzeszko

    (Wydzial Nauk Ekonomicznych i Zarzadzania UMK)

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.

Suggested Citation

  • Witold Orzeszko, 2010. "Fractal dimension of time series as a measure of investment risk," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 41, pages 57-70.
    • Handle: RePEc:cpn:umkanc:2010:p:57-70
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    File URL: http://www.aunc.ekonomia.umk.pl/Pliki/2010/04_Orzeszko.pdf
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    Cited by:

    1. Roman Kaminskiy & Nataliya Shakhovska & Jana Kajanová & Yurii Kryvenchuk, 2021. "Method of Distinguishing Styles by Fractal and Statistical Indicators of the Text as a Sequence of the Number of Letters in Its Words," Mathematics, MDPI, vol. 9(19), pages 1-16, September.

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