Using multi-fractal method in ranking portfolio efficiency

Subject Areas : Financial Knowledge of Securities Analysis

Mahnaz Doosti ¹ (MSc Student, University of Science and Culture, Department of Industrial Engineering)
Morteza Rahmani ² (Faculty Member of University of Science and Culture, Department of Industrial Engineering)

Received: 2022-05-07 Accepted : 2022-05-07 Published : 2022-02-20

Keywords: Stock Market, Random Walk, Efficiently, Multi-fractal, fractal dimension,

Abstract :

Investors around the world are always looking for safe investments in the capital markets of countries or the stocks of their companies. Therefore, finding a practical and scientific way to identify the best investment opportunity will have a very positive impact on the choice of an investor. An efficient stock is a stock whose price information is reflected in the market and the use of past stock prices over a period of time to analyze future trends and fluctuations in stocks leads to correct and citationable results. In this study, assuming poor performance, a stock portfolio consisting of 11 shares accepted in the Iranian capital market has been examined. In the sense that through the stock price information from 95 to 99 years, the trend and intensity of fluctuations have been examined. Because the liquidity of stocks has increased and it will be safe to invest. The results of this research using multi-fractal method show more detailed details of the efficient stock ranking steps in a portfolio.

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