Fractal Analysis in the Indian Stock Market with Special Reference to CNX 500 Index Returns

Mahalingam, Gayathri; Selvam, Murugesan

doi:10.2139/ssrn.2325334

Cited by 3 publications

(2 citation statements)

References 3 publications

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“…Besides, they also confirmed persistent behaviour of SENSEX returns. The study of Mahalingam and Selvam (2013) highlighted the presence of fractal structure, with long memory in CNX 500 returns. The long memory was found for the sample period of study.…”

Section: Review Of Literaturementioning

confidence: 99%

A Comparative Study of Financial Crises: Fractal Dissection of Investor Rationality

Agarwal

Vats

2021

Vision: The Journal of Business Perspective

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Any non-linear dynamic system can be checked for structural properties only at the time of extremes/crises. Hence, in this research article we tried to investigate stock markets for visible patterns or structures in the vicinity of crashes. We used fractal dimension analysis for studying the volatility of prices and presence of noise and patterns in the time series data of NIFTY, SENSEX and gold. We found change in market predictability of the various time series in the surrounding of crash points. There was measurable change in persistence levels around rupture points. It can be concluded that excessive order in stock markets can choke the markets which then witness crashes to relieve this symmetry and resume randomness for normal functioning. We supported the results with behavioural biases and patterns of investors. The repetitive trading psychology, different intensity of emotions of investors towards their gains and losses, and onset of irrationality and fear leads to worsening of any financial crisis. The crashes can have devastating effects on the economy and the investors. We there have tried to find visible patterns that can serve as warning signals of an approaching crisis. This can be of special assistance to the investors, traders and speculators who enjoy playing in the stock market.

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Section: Review Of Literaturementioning

confidence: 99%

A Comparative Study of Financial Crises: Fractal Dissection of Investor Rationality

Agarwal

Vats

2021

Vision: The Journal of Business Perspective

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“…It has also been established that SENSEX returns have a consistent pattern of behavior. The existence of extended memory fractal structure in CNX 500 data was highlighted by Mahalingam and Selvam [26]. Kapecka [27] made a crucial discovery by arguing that markets do not happen at random.…”

Section: Introductionmentioning

confidence: 99%

Fractality of Borsa Istanbul during the COVID-19 Pandemic

et al. 2022

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Forecasting price changes is very important for the process of estimating and managing market risk in financial markets. Price changes in financial markets may also depend on non-market factors. Considering this situation, the study investigates the effect of the COVID-19 pandemic on Borsa Istanbul. It tackles changes in the fractal dimensions of the time series obtained with the daily closing prices of stocks traded on Borsa Istanbul (BIST). According to the results of the sector-based analysis, we found that fractal dimension changes were quite effective in price estimation.

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The trend analysis of China's stock market based on fractal method and BP neural network model

2014

2014 International Conference on Management Science &Amp; Engineering 21th Annual Conference Proceedings

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Fractal Analysis in the Indian Stock Market with Special Reference to CNX 500 Index Returns

Cited by 3 publications

References 3 publications

A Comparative Study of Financial Crises: Fractal Dissection of Investor Rationality

A Comparative Study of Financial Crises: Fractal Dissection of Investor Rationality

Fractality of Borsa Istanbul during the COVID-19 Pandemic

The trend analysis of China's stock market based on fractal method and BP neural network model

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