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Correlation dimension as a measure of stock market variability

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F17%3A00316544" target="_blank" >RIV/68407700:21340/17:00316544 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Correlation dimension as a measure of stock market variability

  • Original language description

    Economical time series often show fractional behaviour. Since this type of data can be considered as a realisation of stochastic process with unknown prop- erties, it can be analysed with the tools of fractal geometry. In the particular case of stock market indices, one can investigate any individual index using state space re- construction according to Whitney theorem. The second possibility of the analysis is the study of development of a group of different indices describing the state of the market at a specific time. Subsequently, long-time stock market history is useful for the investigation of the states as vectors in Euclidean space. Their fractal nature can be studied using correlation dimension. The paper presents several approaches to its estimation and compares the results in terms of the individual stock market behaviour. As a referential technique, the classical approach using correlation sum is presented and its performance is discussed in the context of obtained results. Furthermore, the analysis is useful for the dependency analysis and measure of predictability of time series.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Result continuities

  • Project

  • Continuities

    S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Others

  • Publication year

    2017

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    Mathematical Methods in Economics MME 2017

  • ISBN

    978-80-7435-678-0

  • ISSN

  • e-ISSN

  • Number of pages

    6

  • Pages from-to

    119-124

  • Publisher name

    Univerzita Hradec Králové

  • Place of publication

    Hradec Králové

  • Event location

    Hradec Králové

  • Event date

    Sep 13, 2017

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article