Fractal Volatility of Stock Price Levels

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/rmrj1301.02.03

Keywords:

Volatility, Fractals, Price Levels, Stocks, Stock Prices

Abstract

Applying fractal statistics to the components of the Dow Jones Industrial Average that belong to the industries of telecommunications and technology, this study established the indicators of fractal distribution and examines the fractal spectrum of each of the stocks selected. From the said fractal spectrum, the researchers identified segments that represent similar fractal dimensions. The findings of this study gave an overall picture of the entire volatility level within selected stocks for the purpose of dissecting the said volatility level into smaller segments. Scrutinizing the fluctuations within a volatility level will be helpful for short term investors in identifying the price levels appropriate to their risk appetite. It is
clearly manifested by the results of the fractal segmentation.

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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Uy, K. D., & Naval, C. F. (2013). Fractal Behaviour of Selected Stock Market Prices. Manuscript submitted for publication.

Uy, K. D., Naval, C. F., & Chua, S. V. (2013). An Empirical Validation of the Psychological Anatomy of Gossip. Manuscript submitted for publication.

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Published

2013-12-31

How to Cite

Uy, K. J. D., & Naval, C. R. F. (2013). Fractal Volatility of Stock Price Levels. Recoletos Multidisciplinary Research Journal, 1(2). https://doi.org/10.32871/rmrj1301.02.03

Issue

Vol. 1 No. 2 (2013)

Section

Articles

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

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