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Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych
[Methodical aspects of estimating fractal dimension of financial time series]

Author

Listed:
  • Buła, Rafał

Abstract

In the article two methods of estimating fractal dimension of financial time series are compared: variation method and method of area division. Both methods are used to estimate fractal dimension of chosen exchange rates time series.

Suggested Citation

  • Buła, Rafał, 2012. "Aspekty metodyczne szacowania wymiaru fraktalnego finansowych szeregów czasowych [Methodical aspects of estimating fractal dimension of financial time series]," MPRA Paper 59711, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:59711
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    File URL: https://mpra.ub.uni-muenchen.de/59711/1/MPRA_paper_59711.pdf
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    More about this item

    Keywords

    fractal dimension; exchange rates; variation method;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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