International Journal of Financial Management

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Fractal Dimensional Analysis in Financial Time Series


Affiliations
1 Center for Interdisciplinary Studies in Science and Technology (CISST), Sardar Patel University, Vallabh Vidyanagar, Gujarat, India
2 Department of Mathematics, Sardar Patel University, Vallabh Vidyanagar, Gujarat, India
3 Department of Mathematics, G. H. Patel College of Engineering & Technology, Vallabh Vidyanagar, Gujarat, India
     

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A predictability index for time series of a financial market vector consisting of chosen market parameters is suggested providing a measure of long range predictability of the market. It is based on fractional Brownian motion that includes Brownian motion as a particular case followed by the time series of financial market parameters. By analysing respective time series, these indices are computed for parameters like volatility, FII investments in the local market, IIP numbers, CPI numbers, Dow Jones Index, different stock market indices, currency rates, and gold prices.

Keywords

Fractional Brownian Motion, Hurst Exponent, Fractal Dimension, Predictability Index.
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  • Fractal Dimensional Analysis in Financial Time Series

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Authors

S. J. Bhatt
Center for Interdisciplinary Studies in Science and Technology (CISST), Sardar Patel University, Vallabh Vidyanagar, Gujarat, India
H. V. Dedania
Department of Mathematics, Sardar Patel University, Vallabh Vidyanagar, Gujarat, India
Vipul R. Shah
Department of Mathematics, G. H. Patel College of Engineering & Technology, Vallabh Vidyanagar, Gujarat, India

Abstract


A predictability index for time series of a financial market vector consisting of chosen market parameters is suggested providing a measure of long range predictability of the market. It is based on fractional Brownian motion that includes Brownian motion as a particular case followed by the time series of financial market parameters. By analysing respective time series, these indices are computed for parameters like volatility, FII investments in the local market, IIP numbers, CPI numbers, Dow Jones Index, different stock market indices, currency rates, and gold prices.

Keywords


Fractional Brownian Motion, Hurst Exponent, Fractal Dimension, Predictability Index.

References