Multifractal analysis of the dynamics of NIKKEI and HKSE Asian stock indices

Authors

  • Олена Ігорівна Ляшенко Taras Shevchenko National University of Kyiv, 90a,Vasylkivska street, Kyiv, Ukraine, 03022, Ukraine https://orcid.org/0000-0002-0197-4179
  • Катерина Ігорівна Крицун Taras Shevchenko National University of Kyiv, 90a,Vasylkivska street, Kyiv, Ukraine, 03022, Ukraine

DOI:

https://doi.org/10.15587/2312-8372.2016.66117

Keywords:

financial indicators, multifractal analysis, the coefficient of Hurst

Abstract

The paper studies the dynamics of NIKKEI and HKSE stock indices in Asia from 2014 to 2015. The work uses multifractal analysis and R/S analysis to study the dynamics of the stock indices. The research reviews scientific works that has multifractal analysis as the subject of research. The study highlights the calculation of Hurst coefficient using Gretl and reveals the presence of memory in the time series. The research shows that time series has multifractal properties detected by SpectrAnalyzer. The paper graphically draws the characteristics of time series such as the multifractal singularity spectrum and dynamics of the fluctuation functions. The authors describe further plans in their study of financial indicators. 

Author Biographies

Олена Ігорівна Ляшенко, Taras Shevchenko National University of Kyiv, 90a,Vasylkivska street, Kyiv, Ukraine, 03022

Doctor of Economics, Professor

Department of Economic Cybernetics

Катерина Ігорівна Крицун, Taras Shevchenko National University of Kyiv, 90a,Vasylkivska street, Kyiv, Ukraine, 03022

PhD student

Department of Economic Cybernetics

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Published

2016-03-29

How to Cite

Ляшенко, О. І., & Крицун, К. І. (2016). Multifractal analysis of the dynamics of NIKKEI and HKSE Asian stock indices. Technology Audit and Production Reserves, 2(6(28), 15–18. https://doi.org/10.15587/2312-8372.2016.66117

Issue

Vol. 2 No. 6(28) (2016): Development of productive forces and regional economy. Economic cybernetics

Section

Economic Cybernetics: Original Research

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Copyright (c) 2016 Олена Ігорівна Ляшенко, Катерина Ігорівна Крицун

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