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

Autori
Gardijan Kedžo, Margareta ; Kojić, Vedran ; Žmuk Berislav

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, sažetak, ostalo

Izvornik
KOI 2018 Book of Abstracts / Arnerić, Josip ; Čeh Časni, Anita - Zagreb : Hrvatsko društvo za operacijska istraživanja (CRORS), 2018, 104-104

Skup
17th International Conference on Operational Research (KOI 2018)

Mjesto i datum
Zadar, Hrvatska, 26.09.2018. - 28.09.2018

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

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

Sažetak
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.

Izvorni jezik
Engleski

Znanstvena područja
Matematika, Ekonomija

POVEZANOST RADA