Abstract
Most investors focus mainly on estimating risk and not examining the market on which they operate. In this paper authors analyzed stock exchange indices for capital markets from different countries and with different stage of development. Analysis was done with usage of commonly used methods (standard deviation, VaR) as well as some more unconventional approaches (Hurst exponent, MST). Author shows that markets in different stage of development show different statistical patterns.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Czarnecki, Ł., Grech, D., Pamuła, G.: Comparison study of global and local approaches describing critical phenomena on the Polish Stock Exchange market. Phys. A 387, 6801–6811 (2008)
Karpo, K., Orłowski, A.J., Łukasiewicz, P.: Stock indices for emerging markets. Acta Phys. Pol. A 117, 619–622 (2010)
Hurst, H.E.: Long-term storage capacity of reservoirs. Trans. Am. Soc. Civil Eng. 116, 770–780 (1951)
Bunde, A., Havlin, S., Kantelhardt, J.W., Penzel, T., Peter, J., Vooigt, K.: Correlated and uncorrelated regions in hart-rate fluctuations during sleep. Phys. Rev. Lett. 85, 3736–3739 (2000)
Mantegna, R.N., Stanley, H.E.: Scaling behavior in the dynamics of an economic index. Nature 376, 46–49 (1995)
Kantelhardt, J.W., Zschiegner, S.A., Koscielny-Bunde, E., Vavlin, S., Bunde, A., Stanley, H.E.: Multifractal detrended fluctuation analysis of nonstationary time series. Phys. A 316, 87–114 (2002)
Geweke, J., Porter-Hudak, S.: The estimation and application of long-memory time series models. J. Time Ser. Anal. 4, 221–238 (1983)
Kiłyk, A., Wilimowska, Z.: Minimal spanning tree, information systems architecture and technology: system analysis approach to the design, control and decision support, pp. 17–26. Oficyna Wydawnicza Politechniki Wroclawskiej, Wrocław (2011)
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2016 Springer International Publishing Switzerland
About this paper
Cite this paper
Kiłyk, A.M. (2016). Risk Management on Different Types of Stock Exchange Markets. In: Wilimowska, Z., Borzemski, L., Grzech, A., Świątek, J. (eds) Information Systems Architecture and Technology: Proceedings of 36th International Conference on Information Systems Architecture and Technology – ISAT 2015 – Part IV. Advances in Intelligent Systems and Computing, vol 432. Springer, Cham. https://doi.org/10.1007/978-3-319-28567-2_3
Download citation
DOI: https://doi.org/10.1007/978-3-319-28567-2_3
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-28565-8
Online ISBN: 978-3-319-28567-2
eBook Packages: EngineeringEngineering (R0)