engleski

Modelling a stock index on Croatian stock market: a complex numbers approach

In his book Complex-Valued Modeling in Economics and Finance (2012), Sergey Svetunkov proposed the methodology for constructing a stock index by using the complex number theory. By comparing this new complex index with the existing stock index (of real-valued variables) on Russian stock market, Svetkunov (2012) has shown that the complex index captured some important market features whereas the index of real variables did not. However, the complex index is not an alternative to indices of real variables - it is rather a supplementary tool for stock market analysis. In this paper, we test the methodology proposed by Svetunkov (2012) on Croatian stock market in the period of 2008. to 2017. using the composition of index CROBEX. Obviously, Croatian stock market is small and rather illiquid, so it is interesting to discuss the application of the complex index methodology on such market.

complex numbers ; stock index of real variables ; complex index ; Croatian stock market

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