APPLICATION OF FRACTAL ANALYSIS METHOD FOR STUDYING STOCK MARKET

The study of financial markets behaviour is an important part of the financial investments theory. The methods for analyzing the financial markets which have been established in the sixties and seventies of the last century are valid only during periods of stable market conditions. They are based on the assumption that the financial markets behaviour is subject to the normal distribution law In the nineties of the last century, they began to look at this problem from the point of view of fractal analysis. It was observed that financial time series has the property of self-similarity. In the works of Mandelbrot (1983, 2006), the founder of fractal geometry, the behaviour of financial indicators in the market was considered as fractals. The book by E. Peters "Fractal analysis of financial markets" and "Chaos and order in the capital markets" are devoted to the study of this problem. The presented work is devoted to the study of financial time series in the stock market in the current situation. Financial time series in this paper are treated as fractals. The study of the series for persistence and volatility using R / S analysis were carried out. For the persistent series, the persistence hypothesis was again tested by mixing the series. The average lengths of non-periodic cycles were also found for these series. (C) 2020 INT TRANS J ENG MANAG SCI TECH.