Optimal investment horizons for the main indices of the Warsaw Stock Exchange

• Autorzy: Adam Szmagliński
• Języki publikacji: PL

Abstrakty

PL

The investment horizon is the smallest time interval when an asset crosses a fixed value of the return level. For a given return level, the investment horizon distribution is created by putting the investment horizons into a histogram. We fit probability distribution function to the histogram. The maximum of the function is called the optimal investment horizon. We performed the analysis of some indices of the Warsaw Stock Exchange for WIG, WIG20, mWIG40 and shares of KGHM and MBK. For these assets, we found the coefficients of linear proportion between the optimal investment horizons and the logarithm of their return levels.

Słowa kluczowe

PL

econophysics, financial markets, inverse statistics

• Wydawca: [unknown2]
• Czasopismo: Czasopismo Techniczne
• Rocznik: -

Daty

online

2015-04-09

Twórcy

autor

Adam Szmagliński