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Application of Fractal Geometry in Studies of the Bulgarian Financial Market

Author

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  • Petar Rangelov

    (University of National and World Economy, Sofia, Bulgaria)

Abstract

The present study presents and summarizes in a condensed manner the basic postulates and concepts arising from the principles and ideas of fractal geometry, applied in the field of behavior and dynamics of financial markets. A comparative analysis has been made between the classic financial and statistical indicators for measuring and summarizing a certain state of the financial system, on one hand, and the main quantitative parameters resulting from the fractal analysis, on the other. In the last part, an analysis and test for fractality of the Bulgarian financial market has been made represented by the main stock index – SOFIX.

Suggested Citation

  • Petar Rangelov, 2023. "Application of Fractal Geometry in Studies of the Bulgarian Financial Market," Ikonomiceski i Sotsialni Alternativi, University of National and World Economy, Sofia, Bulgaria, issue 2, pages 81-98, June.
    • Handle: RePEc:nwe:iisabg:y:2023:i:2:p:81-98
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    More about this item

    Keywords

    fractal process; fractal dimension; Hurst exponent;
    All these keywords.

    JEL classification:

    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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