List of Articles ابعاد فراکتال

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - The difference between dimensions fractal and Fractal random walks of return index and future fall risk and systematic risk in Tehran Stock Exchange
  Amir hosein Abdolmaleki mohsen hamidian ali baghani
  Financial markets can be evaluated as dynamic nonlinear systems that consider the interactions of factors in the process of immediate information analysis. Investors with different time horizons in the market may use this information differently. Thus, the financial mar More

  Financial markets can be evaluated as dynamic nonlinear systems that consider the interactions of factors in the process of immediate information analysis. Investors with different time horizons in the market may use this information differently. Thus, the financial market has a fractal structure in relation to investment time horizons. This research is of applied type and of post-event type; the method research is applicable and run based on past information. The statistical population of the study includes all companies listed in the Iranian capital market during the period 2008-2018. In this study, after calculating the fractal dimension of the experimental group using ARFIMA model and the fractal dimension and simulated Fractal random walks group using RUN test, the difference between these two dimensions in price index, return, future fall risk and systematic risk is investigated. Data analysis was performed in both 5-year and 10-year intervals using EVIEWS and SPSS software and the results indicate that the difference between dimensions fractal and f simulated Fractal random walks of the return index and the risk of future and systematic stock falls in short-term intervals means and is not significant in the long-term Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  2 - Empirical analysis of fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange
  Shokrollah Khajavi Hadi Abdi Taleb Beigi
  The goal of this research is to empirical analyzing fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange. To have access to this goal, cash return and price indices of Tehran Stock Exchange were studied. Statistical sample of More

  The goal of this research is to empirical analyzing fractal dimensions on cash return and price indices of listed companies of Tehran Stock Exchange. To have access to this goal, cash return and price indices of Tehran Stock Exchange were studied. Statistical sample of research includes cash return and price indices during period 1382 to 1391. Using R/S analysis and Hurst exponent, this research surveys the cash return and price time series being stochastic. To study the stochastic time series and differentiating from time series are not stochastic, R/S analysis is used as an efficient nonlinear method. Distribution type disrelation is the most important advantage of R/S analysis. Results of research show that, cash return and price indices time series are not stochastic and have a long-memory. Manuscript profile