Прогнозирование кризисной ситуации на фондовом рынке
DOI:
https://doi.org/10.15587/2313-8416.2015.41409Słowa kluczowe:
фондовые рынки, фондовые индексы, показатель Херста, индикаторы, кризисная ситуацияAbstrakt
Статья посвящена проблеме поиска индикаторов кризисной ситуации на фондовых рынках. На основе R/S анализа выявлено, что в предкризисный период меняется фрактальная размерность пространства эмпирических данных, то есть меняется природа изучаемого объекта. Размерность пространства предлагается использовать в качестве индикатора негативной тенденции
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