Predictability and herding of bourse volatility: an econophysics analogue
Financial Reynolds number works as a proxy for volatility in stock markets. This piece of work helps to identify the predictability and herd behavior embedded in the financial Reynolds number (time series) series for both CNX Nifty Regular and CNX Nifty High Frequency Trading domains. Hurst exponent...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2018-06-01
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| Series: | Investment Management & Financial Innovations |
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| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10554/IMFI_2018_02_Ghosh.pdf |
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| author | Bikramaditya Ghosh Krishna M.C. Shrikanth Rao Emira Kozarević Rahul Kumar Pandey |
| author_facet | Bikramaditya Ghosh Krishna M.C. Shrikanth Rao Emira Kozarević Rahul Kumar Pandey |
| author_sort | Bikramaditya Ghosh |
| collection | DOAJ |
| description | Financial Reynolds number works as a proxy for volatility in stock markets. This piece of work helps to identify the predictability and herd behavior embedded in the financial Reynolds number (time series) series for both CNX Nifty Regular and CNX Nifty High Frequency Trading domains. Hurst exponent and fractal dimension have been used to carry out this work. Results confirm conclusive evidence of predictability and herd behavior for both the indices. However, it has been observed that CNX Nifty High Frequency Trading domain (represented by its corresponding financial Reynolds number) is more predictable and has traces of significant herd behavior. The pattern of the predictability has been found to follow a quadratic equation. |
| first_indexed | 2024-12-12T04:18:05Z |
| format | Article |
| id | doaj.art-49f5af06e2c74e7db9377ddbd46f449d |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-12-12T04:18:05Z |
| publishDate | 2018-06-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-49f5af06e2c74e7db9377ddbd46f449d2022-12-22T00:38:24ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582018-06-0115231732610.21511/imfi.15(2).2018.2810554Predictability and herding of bourse volatility: an econophysics analogueBikramaditya Ghosh0Krishna M.C.1Shrikanth Rao2Emira Kozarević3Rahul Kumar Pandey4Ph.D., Associate Professor, Institute of Management, Christ UniversityAssociate Professor, Institute of Management, Christ University, BangaloreAssociate Professor, Institute of Management, Christ University, BangalorePh.D., Associate Professor, Faculty of Economics, University of TuzlaMBA, Research Scholar, Institute of Management, Christ University, BangaloreFinancial Reynolds number works as a proxy for volatility in stock markets. This piece of work helps to identify the predictability and herd behavior embedded in the financial Reynolds number (time series) series for both CNX Nifty Regular and CNX Nifty High Frequency Trading domains. Hurst exponent and fractal dimension have been used to carry out this work. Results confirm conclusive evidence of predictability and herd behavior for both the indices. However, it has been observed that CNX Nifty High Frequency Trading domain (represented by its corresponding financial Reynolds number) is more predictable and has traces of significant herd behavior. The pattern of the predictability has been found to follow a quadratic equation.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10554/IMFI_2018_02_Ghosh.pdfeconophysicsherdingHigh Frequency TradingHurst exponent |
| spellingShingle | Bikramaditya Ghosh Krishna M.C. Shrikanth Rao Emira Kozarević Rahul Kumar Pandey Predictability and herding of bourse volatility: an econophysics analogue Investment Management & Financial Innovations econophysics herding High Frequency Trading Hurst exponent |
| title | Predictability and herding of bourse volatility: an econophysics analogue |
| title_full | Predictability and herding of bourse volatility: an econophysics analogue |
| title_fullStr | Predictability and herding of bourse volatility: an econophysics analogue |
| title_full_unstemmed | Predictability and herding of bourse volatility: an econophysics analogue |
| title_short | Predictability and herding of bourse volatility: an econophysics analogue |
| title_sort | predictability and herding of bourse volatility an econophysics analogue |
| topic | econophysics herding High Frequency Trading Hurst exponent |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10554/IMFI_2018_02_Ghosh.pdf |
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