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Financial Volatility Measurement Using Fractal Dimension

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  • Daniela Alexandra CRIȘAN

    (Romanian-American University)

Abstract

Financial volatility measures the variation of the price of a financial instrument over time. It is a very important instrument for both financial analysts and investors, as it is a measure of assets (un)stability. There have been previous attempts of using fractal analysis in estimating the financial volatility. In this paper, the author will experiment the use of an image processing technique, computing the fractal "box-counting" dimension of the time series corresponding to an asset price. The fractal dimensions of 20 pairs of assets will be compared in order to describe their volatility. An original software application developed by the author for fractal processing purposes was used.

Suggested Citation

  • Daniela Alexandra CRIȘAN, 2015. "Financial Volatility Measurement Using Fractal Dimension," Romanian Economic Business Review, Romanian-American University, vol. 9(1), pages 95-102, May.
    • Handle: RePEc:rau:journl:v:9:y:2015:i:1:p:95-102
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    File URL: http://www.rebe.rau.ro/RePEc/rau/jisomg/SU15/JISOM-SU15-A9.pdf
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    References listed on IDEAS

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    1. Anderson, Nicola & Noss, Joseph, 2013. "Financial Stability Paper No 23: The Fractal Market Hypothesis and its implications for the stability of financial markets," Bank of England Financial Stability Papers 23, Bank of England.
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