THE USE OF DETERMINISTIC CHAOS THEORY FOR AN ANALYSIS OF CAPITAL MARKETS EXEMPLIFIED BY THE WIG INDEX (Wykorzystanie teorii chaosu deterministycznego do analizy rynków kapitalowych na przykladzie indeksu...
THE USE OF DETERMINISTIC CHAOS THEORY FOR AN ANALYSIS OF CAPITAL MARKETS EXEMPLIFIED BY THE WIG INDEX (Wykorzystanie teorii chaosu deterministycznego do analizy rynków kapitalowych na przykladzie indeksu WIG)
The article presents the options provided by the theory of deterministic chaos in the capital market analysis. A research method - fractal analysis, typical of this theory constitutes a considerable contribution to classical methods of capital market analysis. One should bear in mind that the fractal analysis does not help to forecast the value of shares for a concrete day, but it allows to assess probability of specific behaviour patterns of the market and to model alternative scenarios of its behaviour. The most important advantage of fractal analysis is that it allows to define dimensions of dynamic patterns which are capital markets - which can facilitate model building. The article also presents a fractal analysis of the Polish capital market. The analysis conducted for the Polish stock exchange shows that it is similar in character to Western long-established stock exchanges.
Financed by the National Centre for Research and Development under grant No. SP/I/1/77065/10 by the strategic scientific research and experimental development program:
SYNAT - “Interdisciplinary System for Interactive Scientific and Scientific-Technical Information”.