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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
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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
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e-ISSN
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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
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