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

Abstract

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
  • Legal notice:

    The above materials are subject to Publisher's copyright and the Author(s) intellectual rights. Without limiting Author(s) rights under respective Copyright Transfer Agreement, no part of the above documents may be reproduced, stored in or introduced into a retrieval system, or transmitted in any form or by any means (electronic, mechanical, photocopying, recording or otherwise), or for any purpose, without the express written permission of Pielaszek Research Corporation, the Publisher.
    Express permission from the Author(s) is required to use the above materials for academic purposes, such as lectures or scientific presentations. In such a case, proper references including Author(s) name(s) and URL of this webpage: http://science24.com/paper/31792 must be provided.

 

Related papers
  1. Analysis of building trading strategy based on price oscillations model.
  2. Cycles in DJIA
  3. Spectral analysis of capital markets

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