Predictability and herding of bourse volatility: an econophysics analogue
| Autor: | Bikramaditya Ghosh, Krishna M.C., Shrikanth Rao, Emira Kozarević, Rahul Kumar Pandey |
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| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | Investment Management & Financial Innovations, Vol 15, Iss 2, Pp 317-326 (2018) |
| Druh dokumentu: | article |
| ISSN: | 1810-4967 1812-9358 |
| DOI: | 10.21511/imfi.15(2).2018.28 |
| Popis: | Financial Reynolds number works as a proxy for volatility in stock markets. This piece of work helps to identify the predictability and herd behavior embedded in the financial Reynolds number (time series) series for both CNX Nifty Regular and CNX Nifty High Frequency Trading domains. Hurst exponent and fractal dimension have been used to carry out this work. Results confirm conclusive evidence of predictability and herd behavior for both the indices. However, it has been observed that CNX Nifty High Frequency Trading domain (represented by its corresponding financial Reynolds number) is more predictable and has traces of significant herd behavior. The pattern of the predictability has been found to follow a quadratic equation. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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