The impact of rate of return calculation on the quality of data.

Piotr J. Dudojć 

Gdansk University of Technology, Narutowicza 11/12, Gdańsk 80-952, Poland


One of the methods used for capital markets data analysis is calculating a rate of return from a hypothetical investment. Therefore, it was decided to investigate the impact of such transformation on the quality of the obtained data. By analogy to the signal to noise ratio, known from the signal processing theory, as a quality criterion the ratio of mean and standard deviation was used. For the purpose of theoretical analysis the model of ratio of normal variables, developed by G. Marsaglia, was applied. The general idea of the research is as follows. Firstly, quotations are divided into small sets in order to calculate their characteristics , then the return ratio is calculated by dividing particular sets with each other and finally the result characteristics are compared with the source ones. Results from the theoretical research suggest that increase the quality of data after calculating rate of return is possible  in the boundary of the mentioned model.


Auxiliary resources (full texts, presentations, posters, etc.)
  1. POSTER: The impact of rate of return calculation on the quality of data., PDF document, version 1.4, 0.7MB
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Presentation: Poster at 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Piotr J. Dudojć
See On-line Journal of 8 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2015-08-16 13:06
Revised:   2015-08-16 13:07