A. Orłowski, Z.R. Struzik, E. Syczewska and M.A. Załuska-Kotur
We show results of local fluctuation analysis, probability distributions, and fractional integration analysis for nominal exchange rates of the Polish zloty versus two foreign currencies (US dollar and German mark/euro). The results confirm the rapid change of the volatility pattern in August 1997. We compare the type of the fluctuation behavior before and after this date.
Physica A. 344, Issues 1-2,
Dec 15, 2003
Application of the ultrametric distance to portfolio taxonomy. Critical approach and comparison with other methods
Urszula Skórnik-Pokarowska and Arkadiusz Orłowski
We calculate the ultrametric distance between the pairs of stocks that belong to the same portfolio. The ultrametric distance allows us to distinguish groups of shares that are related. In this way, we can construct a portfolio taxonomy that can be used for constructing an efficient portfolio. We also construct a portfolio taxonomy based not only on stock prices but also on economic indices such as liquidity ratio, debt ratio and sales profitability ratio. We show that a good investment strategy can be obtained by applying to the portfolio chosen by the taxonomy method the so-called Constant Rebalanced Portfolio.
Physica A. Vol. 344, Issues 1-2
We calculate the ultrametric distance between the pairs of stocks that belong to the same portfolio. The ultrametric distance allows us to distinguish groups of shares that are related. In this way, we can construct a portfolio taxonomy that can be used for constructing an efficient portfolio. We also construct a portfolio taxonomy based not only on stock prices but also on economic indices such as liquidity ratio, debt ratio and sales profitability ratio. We show that a good investment strategy can be obtained by applying to the portfolio chosen by the taxonomy method the so-called Constant Rebalanced Portfolio.
Physica A. Vol. 344, Issues 1-2
Subscribe to:
Posts (Atom)
