DocumentCode :
1697441
Title :
On behavior of Malaysian equities through fractal analysis
Author :
Pourkalbassi, Farhad ; Bahiraie, Alireza ; Hamzah, Aishah
Author_Institution :
Inst. of Math. Sci., Univ. of Malaya, Kuala Lumpur, Malaysia
fYear :
2012
Firstpage :
1
Lastpage :
7
Abstract :
Existence of a long memory in many processes including financial time series, documented via different methodologies in previous literatures, has inspired recent work in quantifying the fractal characteristics. This paper questions the accuracy of commonly applied fractal analysis on explaining persistency behavior of time series understudy. Rescaled range (R/S) and power spectrum techniques produce fractal dimensions for daily returns of twelve Malaysian stocks from the most well performed firms in Kuala Lumpur stock exchange. Zipf´s law generates linear and logarithmic power-law distribution plots to evaluate the validity of estimated fractal dimensions on prescribing stocks´ persistency behavior with less ambiguity. Findings from this study suggest that a more thoughtful approach is required when applying fractal analysis for quantifying persistent behavior.
Keywords :
Brownian motion; Gaussian distribution; fractals; stock markets; time series; Brownian motion; Gaussian distribution; Kuala Lumpur stock exchange; Malaysian equities; Malaysian stocks; Zipf law; financial time series; fractal analysis; fractal dimensions; linear power-law distribution plots; logarithmic power-law distribution plots; market returns; persistency behavior; power spectrum technique; rescaled range technique; ubiquitous statistical methods; Accuracy; Banking; Brownian motion; Fractals; Spectral analysis; Stock markets; Time series analysis;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Computational Intelligence for Financial Engineering & Economics (CIFEr), 2012 IEEE Conference on
Conference_Location :
New York, NY
ISSN :
PENDING
Print_ISBN :
978-1-4673-1802-0
Electronic_ISBN :
PENDING
Type :
conf
DOI :
10.1109/CIFEr.2012.6327809
Filename :
6327809
Link To Document :
بازگشت