Optimal investment horizons for the main indices of the Warsaw Stock Exchange
cytuj
pobierz pliki
RIS BIB ENDNOTEWybierz format
RIS BIB ENDNOTEOptimal investment horizons for the main indices of the Warsaw Stock Exchange
Data publikacji: 10.02.2015
Czasopismo Techniczne, 2014, Nauki Podstawowe Zeszyt 3 NP (17) 2014, s. 67 - 73
https://doi.org/10.4467/2353737XCT.14.314.3402Autorzy
Optimal investment horizons for the main indices of the Warsaw Stock Exchange
The investment horizon is the smallest time interval when an asset crosses a fixed value of the return level. For a given return level, the investment horizon distribution is created by putting the investment horizons into a histogram. We fit probability distribution function to the histogram. The maximum of the function is called the optimal investment horizon. We performed the analysis of some indices of the Warsaw Stock Exchange for WIG, WIG20, mWIG40 and shares of KGHM and MBK. For these assets, we found the coefficients of linear proportion between the optimal investment horizons and the logarithm of their return levels.
Bachelier L., Théorie de la Spéculation, Annales de l’Ecole normale superiure, 1900.
Samuelson P., Economics: The Original 1948 Edition, McGraw-Hill/Irwin.
Bouchaud J.P., Potters M., Theory of Financial Risks: From Statistical Physics to Risk Management, Cambridge University Press, Cambridge, 2000.
Mantegna R.N., Stanley H.E., An Introduction to Econophysics: Correlations and Complexity in Finance, Cambridge University Press, Cambridge, 2000.
Hull J., Options, Futures and other Derivatives, Prentice-Hall, London 2000.
Mandelbrot B.B., J. Business, vol. 36 No. 4, 1963, 394-419.
Drożdż S., Kwapień J., Grümmer F., Ruf F., Speth J., Acta Phys. Pol. B, vol. 34, 2003, 4293-4306.
Rak R., Drożdż S., Kwapień J., Physica A, vol. 374, 2007, 315-324.
Drożdż S., Forczek M., Kwapień J., Oświęcimka P., Rak R., Physica A, vol. 383, 2007, 59-64.
Kwapień J., Drożdż S., Physics Reports, vol. 515, 2012, 115-226.
Jensen M.H., Phys. Rev. Lett., vol. 83, 1999, 76-79.
Mantegna R.N., Stanley H.E., Nature, vol. 383, 1996, 587-588.
Ghashghaie S., Breymann W., Peinke J., Talkner P., Dodge Y., Nature, vol. 381, 1996, 767-770.
Friedrich R., Peinke J., Renner Ch., Phys. Rev. Lett., vol. 84, 2000, 5224-5227.
Simonsen I., Jensen M.H., Johansen A., Eur. Phys. J. B, vol. 27, No. 4, 2002, 583-586.
Jensen M.H., Johansen A., Simonsen I., Physica A, vol. 234, 2003, 338-343.
Jensen M.H., Johansen A., Petroni F., Simonsen I., Physica A, vol. 340, 2004, 678-684.
Szmagliński A., Acta Phys. Pol. A, vol. 123, 2013, 621-623.
Redner S., A Guide to First Passage Process, Cambridge, New York 2001.
Ding M., Yang W., Phys. Rev. E, vol. 52, 1995, 207-213.
Rangarajan G., Ding M., Phys. Lett. A, vol. 273, 2000, 322-330.
Karpio K., Załuska-Kotur M., Orłowski A., Physica A, vol. 375, 2007, 599-604.
Załuska-Kotur M., Karpio K., Orłowski A., Acta Phys. Pol. B, vol. 37, 2006, 3187-3192.
Grudziecki M., Gnatowska E., Karpio K., Orłowski A., Załuska-Kotur M., Acta Phys. Pol. A, vol. 114, 2008, 569-574.
Czajkowski G., Eng. Th. Investment Horizon Distribution for Main Indices of Warsaw Stock Exchange, Kraków 2014.
Informacje: Czasopismo Techniczne, 2014, Nauki Podstawowe Zeszyt 3 NP (17) 2014, s. 67 - 73
Typ artykułu: Oryginalny artykuł naukowy
Tytuły:
Optimal investment horizons for the main indices of the Warsaw Stock Exchange
Optimal investment horizons for the main indices of the Warsaw Stock Exchange
Institute of Physics, Faculty of Physic, Mathematics and Computer Science, Cracow University of Technology
Publikacja: 10.02.2015
Status artykułu: Otwarte
Licencja: Żadna
Udział procentowy autorów:
Korekty artykułu:
-Języki publikacji:
AngielskiLiczba wyświetleń: 1925
Liczba pobrań: 1046