Fractality of Borsa Istanbul during the COVID-19 Pandemic

被引：11

作者：

Balci, Mehmet Ali ^{[1
]}

Batrancea, Larissa M. ^{[2
]}

Akguller, Omer ^{[1
]}

Gaban, Lucian ^{[3
]}

Rus, Mircea-Iosif ^{[4
]}

Tulai, Horia ^{[5
]}

机构：

[1] Mugla Sitki Korman Univ, Dept Math, TR-48000 Mugla, Turkey

[2] Babes Bolyai Univ, Dept Business, 7 Horea St, Cluj Napoca 400174, Romania

[3] 1 Decembrie 1918 Univ Alba Iulia, Fac Econ, 1517 Unirii St, Alba Iulia 510009, Romania

[4] Natl Inst Res & Dev Construct Urbanism & Sustaina, 117 Calea Floresti, Cluj Napoca 400524, Romania

[5] Babes Bolyai Univ, Dept Econ & Business Adm, 5860 Teodor Mihali St, Cluj Napoca 400591, Romania

来源：

MATHEMATICS | 2022年 / 10卷 / 14期

关键词：

fractal dimension; time series analysis; financial markets; STOCHASTIC VOLATILITY; DIMENSION; TURBULENCE; DYNAMICS; ESTIMATORS; EFFICIENCY; ENTROPY; MARKETS; MODELS; MEMORY;

D O I：

10.3390/math10142503

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

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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页数：33

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