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Application of the Surface Division Method to Segregate Investments in Capital Markets for Shares‘ Portfolio

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  • Grzegorz Przekota

Abstract

Purpose: One of the fundamental issues in capital markets is the sustainability of the price trend. There are many methods of identifying a trend. The article will test a characteristic based on The Surface Division Method. Design/Methodology/Approach: The Surface Division Method is a method that allows for the division of time series into categories due to the reinforcement of the trend, random walk or return to the mean. This fact can be used to segregate investments and choose the right strategy. Findings: The Surface Division Method is a promising method of segregating investments. It is easy to interpret and allows to better describe the shaping of time series values. Practical Implications: The presented investment strategy gave significantly better results than the passive strategy. Originality/value: The Surface Division Method is a new method of data analysis. The application for segregation of investments was made here for the first time. The method is worth developing as it presents a different view than the classical methods based on variance.

Suggested Citation

  • Grzegorz Przekota, 2020. "Application of the Surface Division Method to Segregate Investments in Capital Markets for Shares‘ Portfolio," European Research Studies Journal, European Research Studies Journal, vol. 0(Special 1), pages 883-896.
    • Handle: RePEc:ers:journl:v:xxiii:y:2020:i:special1:p:883-896
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    References listed on IDEAS

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    1. Chen, Yanguang, 2013. "A set of formulae on fractal dimension relations and its application to urban form," Chaos, Solitons & Fractals, Elsevier, vol. 54(C), pages 150-158.
    2. El. Thalassinos & Th. Kiriazidis, 2003. "Degrees Of Integration In International Portfolio Diversification: Effective Systemic Risk," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 119-130, January -.
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    More about this item

    Keywords

    SDM method; portfolio; capital market; time series; trend.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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