Analiza wymiaru fraktalnego spółek notowanych na Giełdzie Papierów Wartościowych w Warszawie – aspekty metodyczne
Analysis of fractal dimension of shares traded at the Warsaw Stock Exchange – methodical issues

Summary/Abstract: This article is devoted to the problem of proper estimation of fractal dimension. Three methods of estimation are discussed: variation method, division of area method and Higuchi method. In the second part of the article real financial time series are used to examine properties of estimates received using abovementioned methods. These are closing prices of shares quoted at Warsaw Stock Exchange. Multiple statistical tools were used to describe properties of empirical distributions of fractal dimension estimates, i.e. normality tests, goodness of fit tests, etc. It was shown that estimates received using division of area method are strongly different than others.

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