ASPECTS OF USE FRACTAL ANALYSIS IN THE EXCHANGE MARKET OF UKRAINE
The paper describes testing of monofractal analysis for obtaining Herst's indicator by Mandelbrot's method on example of exchange rates in the financial market of Ukraine. The assessment shows an adequacy of the results generated by calculating the Hurst parameters for the selected data sa...
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| Format: | Article |
| Language: | deu |
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Publishing Center "Kyiv University"
2014-06-01
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| Series: | Vìsnik. Kiïvsʹkogo Nacìonalʹnogo Unìversitetu ìmenì Tarasa Ševčenka. Ekonomìka |
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| Online Access: | http://bulletin-econom.univ.kiev.ua/wp-content/plugins/download-attachments/includes/download.php?id=1722 |
| Summary: | The paper describes testing of monofractal analysis for obtaining Herst's indicator by Mandelbrot's method on example of exchange rates in the financial market of Ukraine. The assessment shows an adequacy of the results generated by calculating the Hurst parameters for the selected data sample. The study highlights the relationship between the crisis in the market and obtained indicators. Argued the feasibility of using R / S analysis to obtain data on the foreign exchange in the financial market of Ukraine using a small sample volume. Grounded perspective of using this method in the study of the dynamics of financial time series. |
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| ISSN: | 1728-2667 2079-908X |