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Risk Management on Different Types of Stock Exchange Markets

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Information Systems Architecture and Technology: Proceedings of 36th International Conference on Information Systems Architecture and Technology – ISAT 2015 – Part IV

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 432))

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Abstract

Most investors focus mainly on estimating risk and not examining the market on which they operate. In this paper authors analyzed stock exchange indices for capital markets from different countries and with different stage of development. Analysis was done with usage of commonly used methods (standard deviation, VaR) as well as some more unconventional approaches (Hurst exponent, MST). Author shows that markets in different stage of development show different statistical patterns.

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Authors and Affiliations

  1. Wroclaw University of Technology, Wroclaw, Poland

    Anna Maria Kiłyk

Authors
  1. Anna Maria Kiłyk
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Correspondence to Anna Maria Kiłyk .

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Editors and Affiliations

  1. Faculty of Computer Science and Manageme, Wrocław University of Technology, Wrocła, Wrocław, Poland

    Zofia Wilimowska

  2. Faculty of Computer Science and Manageme, Wrocław University of Technology, Wrocła, Wroclaw, Poland

    Leszek Borzemski

  3. Faculty of Computer Science and Manageme, Wrocław University of Technology, Wrocła, Wrocław, Poland

    Adam Grzech

  4. Faculty of Computer Science and Manageme, Wrocław University of Technology, Wrocła, Wrocław, Poland

    Jerzy Świątek

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Kiłyk, A.M. (2016). Risk Management on Different Types of Stock Exchange Markets. In: Wilimowska, Z., Borzemski, L., Grzech, A., Świątek, J. (eds) Information Systems Architecture and Technology: Proceedings of 36th International Conference on Information Systems Architecture and Technology – ISAT 2015 – Part IV. Advances in Intelligent Systems and Computing, vol 432. Springer, Cham. https://doi.org/10.1007/978-3-319-28567-2_3

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  • DOI: https://doi.org/10.1007/978-3-319-28567-2_3

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-28565-8

  • Online ISBN: 978-3-319-28567-2

  • eBook Packages: EngineeringEngineering (R0)

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