Olena Rayevnyeva

Work place: Kharkiv National Economical University, Kharkiv, Ukraine

E-mail: olena_raev@mail.ru


Research Interests: Systems Architecture, Information Systems, Control Theory, Algorithmic Complexity Theory


Olena Rayevnyeva was born in Kharkiv, Ukraine (former USSR) in 1961. She received the M.Sc. degrees from Kharkiv Engineering and Economical Institute in 1983. In 1991 she received the Ph.D. degree and in 2007. She recieved doctor of science degree in economics.

During the 1995-2008 years she was an associated professor of the Economical Cybernetics 

Department, Kharkiv State University of Economics. Now she is Head of Economical Statistical and Forecasting Department of Kharkiv National University of Economics. She has published over 100 papers in refereed journal and conference proceedings in the areas of economical safety, development of enterprises and national economy, financial forecasting etc. Her representative articles and monographs list is as follows: “Analysis of fractality of socio-economical process” (Kharkiv, Ukraine, 2007), “Modeling of the investor behavior onto the stock market” (Kharkiv, Ukraine, 2004), “Diagnostics models of financial crises in a cycle of company development” (Bratislava, Slovakia, 2007), “Statistical models for the investigation of nonlinear development of Ukrainian economy” (Kharkiv, Ukraine, 2009). Her current activity involves nonlinear investigation of socio-economical systems evolution theory, chaos theory and nonlinear dynamics.

Author Articles
Investigation of the Wave Nature of the Ukrainian Stock Market

By Olena Rayevnyeva Kostyantyn Stryzhychenko

DOI: https://doi.org/10.5815/ijisa.2012.01.01, Pub. Date: 8 Feb. 2012

In this work we concentrate on the long-term and short term cycles of Ukrainian stock market, being based on the nonlinear approach of the analysis of open systems. First, the paper gives an algorithmic model for the investigation of the nonlinear nature of stock market, which comprises five individual stages. Then, by analyzing the Hurst coefficient for the PFTS index for the Ukrainian stock market it is shown that it is persistent, i.e. contains the fractals. As the results, a parabolic function is used for the approximation of a nonlinear trend in the PFTS series. Moreover, the major tendency of the PFTS index gives the correlation trends of “blue chips”. The elimination of trends and the usage of Fourier analysis allow one to determine the long-term and short-term cycles in the index and shares. Finally, by investigating the weight of the long-term harmonics in the cyclic component of the PFTS index, the stability of Ukrainian stock market is studied in a short-time period. The application of the results involves the forecasting of the crisis points of stock market and proves the effectiveness of shareholders.

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