Fractal Behavior of Selected Stock Market Prices

Authors

  • Kristine June D. Uy University of San Jose-Recoletos
  • Chris Rudyard F. Naval University of San Jose-Recoletos

DOI:

https://doi.org/10.32871/rmrj1301.02.02

Keywords:

fractals, fractals in finance, risk in the stock market, financial market, stock price volatility

Abstract

This research views the concept of risk in the stock market trading by examining the volatility of closing market prices through the ruggedness of information as represented by its fractal dimension. Using the historical data of the closing stock prices of McDonald’s, Bank of America, and AT&T, the researchers applied fractal statistics and equated the riskiness of the stocks to their fractal behavior (i.e. fractal spectrum). An analysis of the fractal spectrum revealed a distinct behavior exhibited by the different stocks. This behavior was further explored by dividing the fractal spectrum into discrete scales that correspond to a shift in the behavior, and performing an intercompany comparison to ascertain the riskiness of the stock.

Author Biographies

Kristine June D. Uy, University of San Jose-Recoletos

is a faculty member of the University of San Jose Recoletos, was born in 1982 and educated at the University of San Jose Recoletos where she graduated magna cum laude (Bachelor of Science in Accountancy , 2003). She also obtained her Master in Business Administration degree (2008) from the same university. A Certified Public Accountant, she worked with Isla Lipana and Company, a member firm of Pricewaterhouse Coopers (2004-2006). She has been a faculty member of the accountancy department of the University of San Jose Recoletos since 2006 up to the present, handling the subjects Basic Accounting, Partnership and Corporation Accounting, Financial Accounting, Auditing and Assurance Services, and Integrated Auditing Theory.

Chris Rudyard F. Naval, University of San Jose-Recoletos

received his Master’s degree in Accountancy from the University of San Carlos (USC), Cebu City, Philippines. Chris holds a baccalaureate degree in Management Accounting from the University of San Carlos, and is currently taking Master of Arts in Economics and PhD in Management from the University of San Carlos. He is a finance faculty of the University of San Jose - Recoletos in Cebu City. He finds his comfort in research, both academic and industry-based. Some his works are: An Empirical Validation of the Psychological Anatomy of Gossip, Fractal Behaviour of Selected Stock Prices, Fractal Volatility of Stock Price Levels, and Volatility Similarities of Stock Prices within the Same Industries. His interests are in finance, mathematics and statistics, physics, and financial engineering.

References

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Lento, C. (2009, November 20). A synthesis of technical analysis and fractal geometry:Evidence from the Dow Jones Industrial Average components. Ontario, Canada. Available at SSRN: http://ssrn.
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Padua, R. N. (2013, March). Data Roughness and Fractal Statistics. Cebu Normal University Journal of Higher Education. Cebu, Cebu, Philippines: Cebu Normal Press.

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Published

2013-12-31

How to Cite

Uy, K. J. D., & Naval, C. R. F. (2013). Fractal Behavior of Selected Stock Market Prices. Recoletos Multidisciplinary Research Journal, 1(2). https://doi.org/10.32871/rmrj1301.02.02

Issue

Vol. 1 No. 2 (2013)

Section

Articles

License

Copyright of the Journal belongs to the University of San Jose-Recoletos

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