title: Ð¤ÑÐ°ÐºÑÐ°Ð»ÑÐ½ÑÐ¹ Ð°Ð½Ð°Ð»Ð¸Ð· Ð²Ð¾Ð»Ð°ÑÐ¸Ð»ÑÐ½Ð¾ÑÑÐ¸ Ð°ÐºÑÐ¸Ð¹ ÑÐ¾ÑÑÐ¸Ð¹ÑÐºÐ¸Ñ ÐºÐ¾Ð¼Ð¿Ð°Ð½Ð¸Ð¹ (Ð½Ð° Ð¿ÑÐ¸Ð¼ÐµÑÐµ ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â»)
title: Ð²ÑÐ¿ÑÑÐºÐ½Ð°Ñ ÐºÐ²Ð°Ð»Ð¸ÑÐ¸ÐºÐ°ÑÐ¸Ð¾Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð¼Ð°Ð³Ð¸ÑÑÑÐ°
titleType: Subtitle
title: Fractal analysis of the volatility of shares of Russian companies (on the example of PAO Â«GazpromÂ»)
Creators: name: ÐÐ¾Ð»Ð¾Ð´ÐµÐ¶ÐµÐ², ÐÐ¸ÐºÐ¾Ð»Ð°Ð¹
Publisher: name: Ð¡Ð°Ð½ÐºÑ-ÐÐµÑÐµÑÐ±ÑÑÐ³ÑÐºÐ¸Ð¹ Ð¿Ð¾Ð»Ð¸ÑÐµÑÐ½Ð¸ÑÐµÑÐºÐ¸Ð¹ ÑÐ½Ð¸Ð²ÐµÑÑÐ¸ÑÐµÑ ÐÐµÑÑÐ° ÐÐµÐ»Ð¸ÐºÐ¾Ð³Ð¾
Year: 2020
Subjects: ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½ÑÐ¹ Ð°Ð½Ð°Ð»Ð¸Ð·
Ð²Ð¾Ð»Ð°ÑÐ¸Ð»ÑÐ½Ð¾ÑÑÑ
ÑÐ¾Ð½Ð´Ð¾Ð²ÑÐ¹ ÑÑÐ½Ð¾Ðº
ÐºÑÐ¸Ð·Ð¸Ñ
fractal analysis
volatility
stock market
crisis

description: ÐÐ°Ð½Ð½Ð°Ñ ÑÐ°Ð±Ð¾ÑÐ° Ð¿Ð¾ÑÐ²ÑÑÐµÐ½Ð° Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ Ð²Ð¾Ð»Ð°ÑÐ¸Ð»ÑÐ½Ð¾ÑÑÐ¸ Ð°ÐºÑÐ¸Ð¹ Ð¿ÑÐ¾Ð²ÐµÐ´ÑÐ½Ð½Ð¾Ð³Ð¾ Ñ Ð¿Ð¾Ð¼Ð¾ÑÑÑ ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð°. ÐÐ°Ð´Ð°ÑÐ¸, ÐºÐ¾ÑÐ¾ÑÑÐµ ÑÐµÑÐ°Ð»Ð¸ÑÑ Ð² ÑÐ¾Ð´Ðµ Ð¸ÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð¸Ñ: 1. Ð Ð°ÑÑÐ¼Ð¾ÑÑÐµÑÑ Ð¿Ð¾Ð½ÑÑÐ¸Ðµ Ð²Ð¾Ð»Ð°ÑÐ¸Ð»ÑÐ½Ð¾ÑÑÐ¸ ÑÑÐ½ÐºÐ° Ð¸ ÑÐ²ÑÐ·Ñ Ñ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²Ð¾-ÑÐºÐ¾Ð½Ð¾Ð¼Ð¸ÑÐµÑÐºÐ¸Ð¼Ð¸ Ð¿ÑÐ¾ÑÐµÑÑÐ°Ð¼Ð¸; 2. ÐÐ¿ÑÐµÐ´ÐµÐ»Ð¸ÑÑ Ð¼ÐµÑÐ¾Ð´Ñ Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð¸Ñ ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð°; 3. Ð Ð°ÑÑÐ¼Ð¾ÑÑÐµÑÑ ÑÑÐ»Ð¾Ð²Ð¸Ñ Ð¿ÑÐ¸Ð¼ÐµÐ½ÐµÐ½Ð¸Ñ ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð°; 4. ÐÐ°ÑÑ Ð¾ÑÐ³Ð°Ð½Ð¸Ð·Ð°ÑÐ¸Ð¾Ð½Ð½Ð¾-ÑÐºÐ¾Ð½Ð¾Ð¼Ð¸ÑÐµÑÐºÑÑ ÑÐ°ÑÐ°ÐºÑÐµÑÐ¸ÑÑÐ¸ÐºÑ ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â»; 5. ÐÑÐ¾Ð²ÐµÑÑÐ¸ Ð°Ð½Ð°Ð»Ð¸Ð· Ð°ÐºÑÐ¸Ð¹ ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â» Ð½Ð° ÑÐ¾ÑÑÐ¸Ð¹ÑÐºÐ¾Ð¼ ÑÐ¾Ð½Ð´Ð¾Ð²Ð¾Ð¼ ÑÑÐ½ÐºÐµ; 6. ÐÑÐ¾Ð²ÐµÑÑÐ¸ ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½ÑÐ¹ Ð°Ð½Ð°Ð»Ð¸Ð· Ð°ÐºÑÐ¸Ð¹ ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â» ÑÐ¾ÑÐ³ÑÐµÐ¼ÑÑ Ð½Ð° ÐÐÐÐ. Ð Ð°Ð±Ð¾ÑÐ° Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð° Ð½Ð° Ð±Ð°Ð·Ðµ ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â», Ð³Ð´Ðµ ÑÐ¾Ð±Ð¸ÑÐ°Ð»Ð°ÑÑ Ð·Ð½Ð°ÑÐ¸ÑÐµÐ»ÑÐ½Ð°Ñ ÑÐ°ÑÑÑ ÑÐ°ÐºÑÐ¸ÑÐµÑÐºÐ¾Ð³Ð¾ Ð¼Ð°ÑÐµÑÐ¸Ð°Ð»Ð°: ÑÑÐ°ÑÐ¸ÑÑÐ¸ÑÐµÑÐºÐ°Ñ Ð¸Ð½ÑÐ¾ÑÐ¼Ð°ÑÐ¸Ñ, ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²Ð°Ñ Ð¾ÑÑÐµÑÐ½Ð¾ÑÑÑ, ÑÐµÐ½Ñ Ð½Ð° Ð°ÐºÑÐ¸Ð¸. ÐÐ½Ð°Ð»Ð¸Ð· Ð¿ÑÐ¾Ð²Ð¾Ð´Ð¸Ð»ÑÑ Ð¼ÐµÑÐ¾Ð´Ð¾Ð¼ ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° Ñ Ð¿Ð¾Ð¼Ð¾ÑÑÑ Ð¿ÑÐ¾Ð³ÑÐ°Ð¼Ð¼Ð½Ð¾Ð³Ð¾ Ð¾Ð±ÐµÑÐ¿ÐµÑÐµÐ½Ð¸Ñ Excel Ð¾ÑÐ½Ð°ÑÐµÐ½Ð½Ð¾Ð³Ð¾ Ð±Ð°Ð·Ð°Ð¼Ð¸ Ð´Ð°Ð½Ð½ÑÑ Ð½ÐµÐ¾Ð±ÑÐ¾Ð´Ð¸Ð¼ÑÑ ÑÐµÑÐ¼Ð¾Ð´Ð¸Ð½Ð°Ð¼Ð¸ÑÐµÑÐºÐ¸Ñ Ð¿Ð°ÑÐ°Ð¼ÐµÑÑÐ¾Ð². Ð ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐµ ÑÐµÐ¾ÑÐµÑÐ¸ÑÐµÑÐºÐ¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° Ð±ÑÐ»Ð¾ ÑÑÑÐ°Ð½Ð¾Ð²Ð»ÐµÐ½Ð° ÑÑÑÐ½Ð¾ÑÑÑ Ð²Ð¾Ð»Ð°ÑÐ¸Ð»ÑÐ½Ð¾ÑÑÐ¸ Ð°ÐºÑÐ¸Ð¹, Ð° ÑÐ°Ðº Ð¶Ðµ Ð¾ÑÐ¾Ð±ÐµÐ½Ð½Ð¾ÑÑÐ¸ Ð¿ÑÐ¸Ð¼ÐµÐ½ÐµÐ½Ð¸Ñ ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð°. ÐÑÑÐ»ÐµÐ´Ð¾Ð²Ð°Ð½Ð° Ð¼ÐµÑÐ¾Ð´Ð¸ÐºÐ° ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð°. Ð Ð¿ÑÐ°ÐºÑÐ¸ÑÐµÑÐºÐ¾Ð¹ ÑÐ°ÑÑÐ¸ Ð±ÑÐ»Ð° Ð´Ð°Ð½Ð° ÑÐ°ÑÐ°ÐºÑÐµÑÐ¸ÑÑÐ¸ÐºÐ° ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â». ÐÑÐ¾Ð³Ð½Ð¾Ð·Ð¸ÑÐ¾Ð²Ð°Ð½Ñ ÑÐ¸Ð½Ð°Ð½ÑÐ¾Ð²ÑÐµ Ð¿Ð¾ÐºÐ°Ð·Ð°ÑÐµÐ»Ð¸. ÐÑÐ»Ð° Ð´Ð°Ð½Ð° ÑÐ°ÑÐ°ÐºÑÐµÑÐ¸ÑÑÐ¸ÐºÐ° ÑÐµÐ½Ð´ÐµÐ½ÑÐ¸ÑÐ¼ Ð¸Ð·Ð¼ÐµÐ½ÐµÐ½Ð¸Ñ ÑÐµÐ½ Ð½Ð° Ð°ÐºÑÐ¸Ð¸ ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â». Ð ÑÐµÐ·ÑÐ»ÑÑÐ°ÑÐµ Ð¿ÑÐ¾Ð²ÐµÐ´ÐµÐ½Ð¸Ñ ÑÑÐ°ÐºÑÐ°Ð»ÑÐ½Ð¾Ð³Ð¾ Ð°Ð½Ð°Ð»Ð¸Ð·Ð° Ð±ÑÐ»Ð¾ ÑÑÑÐ°Ð½Ð¾Ð²Ð»ÐµÐ½Ð¾, ÑÑÐ¾ Ð¸Ð½Ð´ÐµÐºÑ Ð¥ÐµÑÑÑÐ° H=0,5926. Ð¡Ð»ÐµÐ´Ð¾Ð²Ð°ÑÐµÐ»ÑÐ½Ð¾, Ð¼Ð¾Ð¶Ð½Ð¾ ÑÑÐ²ÐµÑÐ¶Ð´Ð°ÑÑ, ÑÑÐ¾ ÐºÐ¾ÑÐ¸ÑÐ¾Ð²ÐºÐ¸ Ð°ÐºÑÐ¸Ð¸ ÐÐÐ Â«ÐÐ°Ð·Ð¿ÑÐ¾Ð¼Â» Ð¼ÐµÐ½ÑÑÑÑÑ Ð½Ðµ ÑÐ»ÑÑÐ°Ð¹Ð½Ð¾, Ð° Ð¸Ð¼ÐµÑÑ ÑÐ»Ð°Ð±Ð¾Ð²ÑÑÐ°Ð¶ÐµÐ½Ð½ÑÑ âÐ¿Ð°Ð¼ÑÑÑâ: Ð±ÑÐ´ÑÑÐ¸Ðµ Ð·Ð½Ð°ÑÐµÐ½Ð¸Ñ Ð·Ð°Ð²Ð¸ÑÑÑ Ð¾Ñ Ð¿ÑÐµÐ´ÑÐ´ÑÑÐ¸Ñ.
description: This paper is devoted to the study of stock volatility through fractal analysis. The objectives of the study were: 1. Consider the concept of market volatility and the relationship with financial and economic processes; 2. Determine methods of fractional analysis; 3. Consider the conditions for the application of fractional analysis; 4. To give organizational and economic characteristics to PAO Â«GazpromÂ»; 5. To analyze shares of PAO Â«GazpromÂ» on the Russian stock market; 6. Carry out fractal analysis of shares of PAO Â«GazpromÂ» traded on MIVB. The work was carried out on the basis of PAO Â«GazpromÂ», where a significant part of the actual material was collected: statistical information, financial statements, prices of shares. The analysis was carried out by fractal analysis using Excel software with databases of the required thermodynamic parameters. As a result of theoretical analysis, the essence of stock volatility was established, as well as features of fractal analysis. The method of fractal analysis has been studied. In practical part the description of PAO Â«GazpromÂ» was given. Financial indicators were predicted. The description of trends in the prices of shares of PAO Â«GazpromÂ» was given. As a result of fractal analysis, it was found that the Hurst index H=0.5926. Therefore, it is possible to assert that quotations of shares of PAO Â«GazpromÂ» do not change accidentally, but have a weak "memory": future values depend on previous ones.