Predictability and herding of bourse volatility: An econophysics analogue

Title

Predictability and herding of bourse volatility: An econophysics analogue

Creator

Ghosh B.; Krishna M.C.; Rao S.; Kozarevi? E.; Pandey R.K.

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. Bikramaditya Ghosh, Krishna M.C., Shrikanth Rao, Emira Kozarevi?, Rahul Kumar Pandey, 2018.

Source

Investment Management and Financial Innovations, Vol-15, No. 2, pp. 317-326.

Date

2018-01-01

Publisher

LLC CPC Business Perspectives

Subject

Econophysics; Herding; High Frequency Trading; Hurst exponent

Coverage

Ghosh B., Institute of Management, Christ University, Bangalore, India; Krishna M.C., Institute of Management, Christ University, Bangalore, India; Rao S., Institute of Management, Christ University, Bangalore, India; Kozarevi? E., Faculty of Economics, University of Tuzla, Bosnia and Herzegovina; Pandey R.K., Institute of Management, Christ University, Bangalore, India

Rights

All Open Access; Gold Open Access; Green Open Access

Relation

ISSN: 18104967

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.21511/imfi.15(2).2018.28

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