IDEAS home Printed from https://ideas.repec.org/a/aoq/ekonom/y2025i3p404-423.html
   My bibliography  Save this article

Fractal Analysis of Dynamic Economic Processes in the Field of Investment Decisions on the Warsaw Stock Exchange

Author

Listed:
  • Łukasz Siemieniuk
  • Tomasz Siemieniuk
  • Nina Siemieniuk

Abstract

The main aim of this paper is to identify and evaluate the use of nonlinear methods of analysis of dynamic economic processes represented by one-dimensional time series and observe the state of their behavior to study the investment attractiveness of jointstock companies on the Warsaw Stock Exchange. The study uses chaos theory as one of the novel methods of describing capital markets, which is an advantage over the classic methods of capital market analysis and describes how it functions as a linear system. The fractal analysis of selected companies listed on the Warsaw Stock Exchange detected the existence of long-term memory. Joint-stock companies on the Polish stock exchange have positive Lyapunov exponents, fractal dimensions in the form of fractional numbers, and therefore, the possibility of examining deterministic chaos using tools. The price charts of companies’ shares indicate that these are not straight lines but lines that form a zig-zag shape, characteristic for nonlinear systems. Research shows that the Polish capital market has fractal properties, and thus analysis using deterministic chaos methods is possible.

Suggested Citation

  • Łukasz Siemieniuk & Tomasz Siemieniuk & Nina Siemieniuk, 2025. "Fractal Analysis of Dynamic Economic Processes in the Field of Investment Decisions on the Warsaw Stock Exchange," Ekonomista, Polskie Towarzystwo Ekonomiczne, issue 3, pages 404-423.
    • Handle: RePEc:aoq:ekonom:y:2025:i:3:p:404-423
    as

    Download full text from publisher

    File URL: https://ekonomista.pte.pl/pdf-202968-124382
    File Function: Full text
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bullard, James & Butler, Alison, 1993. "Nonlinearity and Chaos in Economic Models: Implications for Policy Decisions," Economic Journal, Royal Economic Society, vol. 103(419), pages 849-867, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Atanas Christev, 2006. "Learning Hyperinflations," Computing in Economics and Finance 2006 475, Society for Computational Economics.
    2. Kyrtsou, Catherine & Vorlow, Costas, 2009. "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 200-211, March.
    3. Gomes, Orlando, 2008. "Too much of a good thing: Endogenous business cycles generated by bounded technological progress," Economic Modelling, Elsevier, vol. 25(5), pages 933-945, September.
    4. Libo Xu & Apostolos Serletis, 2019. "Communication frictions, sentiments, and nonlinear business cycles," International Journal of Economic Theory, The International Society for Economic Theory, vol. 15(2), pages 137-152, June.
    5. Andrei Kapaev, 2013. "Remark on repo and options," Papers 1311.5211, arXiv.org.
    6. Alexeeva, Tatyana A. & Barnett, William A. & Kuznetsov, Nikolay V. & Mokaev, Timur N., 2020. "Dynamics of the Shapovalov mid-size firm model," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
    7. Yang Hu & Guangping Hu, 2023. "Stabilization and Chaos Control of an Economic Model via a Time-Delayed Feedback Scheme," Mathematics, MDPI, vol. 11(13), pages 1-13, July.
    8. Franz Alberto Hamann, 1996. "Puede Explicarse el Precio Externo del Café con un Modelo Econométrico no Lineal?," Borradores de Economia 065, Banco de la Republica de Colombia.
    9. Orlando Gomes, 2007. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing, vol. 33(6), pages 437-468, January.
    10. Orlando Gomes, 2006. "Endogenous Business Cycles in the Ramsey Growth Model," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 9(2), pages 13-36, November.
    11. Orlando Gomes, 2006. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing, vol. 33(6), pages 437-468, November.
    12. Franz Alonso Hamann S., 1996. "Puede Explicarse El Precio Externo Del Caf� Con Un Modelo Econometrico No Lineal?," Borradores de Economia 3408, Banco de la Republica.
    13. Vivaldo M. Mendes & Diana A. Mendes, 2006. "Active Interest Rate Rules and the Role of Stabilization Policy R&D Tax Credits," Working Papers Series 1 ercwp0208, ISCTE-IUL, Business Research Unit (BRU-IUL).
    14. Barnett, William A. & Serletis, Apostolos & Serletis, Demitre, 2015. "Nonlinear And Complex Dynamics In Economics," Macroeconomic Dynamics, Cambridge University Press, vol. 19(8), pages 1749-1779, December.
    15. Bella, Giovanni, 2025. "Emergence of chaotic dynamics in the Goodwin model with disequilibrium in the goods market," Structural Change and Economic Dynamics, Elsevier, vol. 73(C), pages 170-180.
    16. Orlando Gomes, 2008. "Imperfect Demand Expectations and Endogenous Business Cycles," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 11(1), pages 37-59, May.
    17. Guo, Jang-Ting & Lansing, Kevin J., 2002. "Fiscal Policy, Increasing Returns, And Endogenous Fluctuations," Macroeconomic Dynamics, Cambridge University Press, vol. 6(5), pages 633-664, November.
    18. Orlando Gomes, 2006. "Routes to chaos in macroeconomic theory," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 33(6), pages 437-468, November.
    19. Sorger, Gerhard, 1998. "Imperfect foresight and chaos: an example of a self-fulfilling mistake," Journal of Economic Behavior & Organization, Elsevier, vol. 33(3-4), pages 363-383, January.
    20. Garcia, Alfredo Daniel & Szybisz, Martin Andres, 2017. "Size effect in transitional dynamics of the banking network," MPRA Paper 80195, University Library of Munich, Germany.

    More about this item

    Keywords

    ;
    ;
    ;

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aoq:ekonom:y:2025:i:3:p:404-423. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tomasz Kwarcinski (email available below). General contact details of provider: https://edirc.repec.org/data/pteeeea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.