ISSN 2587-814X (print),
ISSN 2587-8158 (online)

Russian version: ISSN 1998-0663 (print),
ISSN 2587-8166 (online)

А. Zinenko

R/S analyses of stock market

2012. No. 3(21). P. 24–30 [issue contents]

Anna Zinenko – Associate Professor, Department of Finance and Credit, Faculty of Engineering and Economics, Siberian State Aerospace University.
Address: 31, Krasnoyarsky Rabochy Av., Krasnoyarsk, 660014, Russian Federation.
E-mail: anna-z@mail.ru

This work is focused on the problem of projecting time series in stock market. The relevance of study represented by this article is confirmed by the fact that that classic investment concepts based on the assumption that market prices are random by nature have proven to be inconsistent back in 1990s. Such concepts never worked in volatile emerging Russian stock market. At the same time, alternative concepts are only being developed today. This article discusses the most well-proven concept of exponential and fractal nature of stock market changes. The founder of this theory is Benoît B. Mandelbrot, French and American mathematician.

The object of this work is to review present day’s major market indices for being subject to exponential laws. To achieve goals of the study, R/S analysis algorithm was used – the method applied by British hydrologist Harold Hurst in his analysis of Nile overflowing trends.

The paper looks at variations in three global stock indices – MICEX, Daw Jones Industrial Average and Shanghai Inc. The study resulted in a proof to the existence of trends (i.e. succeeding data being dependent on the preceding data) in variations in all the reviewed indices over the period under review. The novelty of results of the study is the customization of R/S analysis algorithm to Microsoft Office software tools. The author also performed an additional verification of equation and regression coefficients which was missing in Peters algorithm. Theoretical result of the paper is that R/S analysis is applied to Russian stock for the time (Eric Von Neumann tried to do that earlier but he used the algorithm described by Peters inconsistently and in a too simplified way). The practical effect of the work is that the trend nature revealed by the study opens up new opportunities for development and application of indicators enabling projection of market price trends. 

Citation: Zinenko А. V. (2012) R/S analiz na fondovom rynke [R/S analyses of stock market] Biznes-informatika, 3(21), pp. 24-30 (in Russian)
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