Investigation of the Wave Nature of the Ukrainian Stock Market

Full Text (PDF, 518KB), PP.1-10

Views: 0 Downloads: 0


Olena Rayevnyeva 1,* Kostyantyn Stryzhychenko 1

1. Kharkiv National Economical University, Kharkiv, Ukraine

* Corresponding author.


Received: 14 Mar. 2011 / Revised: 6 Jul. 2011 / Accepted: 3 Oct. 2011 / Published: 8 Feb. 2012

Index Terms

Stock market, spectral analysis, cycle, PFTS index, harmonics, fractality, nonlinear dynamic


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.

Cite This Paper

Olena Rayevnyeva, Kostyantyn Stryzhychenko, "Investigation of the Wave Nature of the Ukrainian Stock Market", International Journal of Intelligent Systems and Applications(IJISA), vol.4, no.1, pp.1-10, 2012. DOI:10.5815/ijisa.2012.01.01


[1]Kondratiev, N. D. (1925). The Major Economic Cycles (in Russian). Moscow. Translated and published as The Long Wave Cycle by Richardson & Snyder, New York, 1984

[2]Schumpeter, J.A. (1961) The theory of economic development : an inquiry into profits, capital, credit, interest, and the business cycle translated from the German by Redvers Opie New York: OUP

[3]Bishop R. (1986). The Fluctuation. – Moscow. Nauka.

[4]Forrester, Jay W., (1973). World Dynamics, (2 ed.). Waltham, MA: Pegasus Communications. 144 pp.

[5]E.E. Peters, (1994), Fractal Market Analysis: Applying Chaos Theory to Investment and Economics, John Wiley & Sons, 1994. 290 pp

[6]Peters E. (2000). The chaos and the order onto the capital market. New analytical opinion on the cycles, prices and the market changeability. – Moscow. Mir.

[7]Rumyanceva S. (2003). The long waves in the economics: multivariate analysis. – St. Petersburg. University.

[8]Granger K., Hatanaka M. (1972) The time series spectral analysis in economics. - Moscow. Statistica.

[9]Dickey, D.A. and W.A. Fuller (1979) “Distribution of the Estimators for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 74, 427–431

[10]MacKinnon, J.G. (1991) “Critical Values for Cointegration Tests,” Chapter 13 in Long-run Economic Relationships: Readings in Cointegration, edited by R.F.Engle and C.W.J. Granger, Oxford University Press.

[11]Kandall M. (1981) The time series. – Moscow. Finance and statistics.

[12]Ponomarenko V, Rayevnyeva O., Stryzhychenko K. (2004). Modeling of the investor behavior at the stock market. Monograph. – Kharkiv, PH “ENGEK.