SUSTAINABLE RISK MANAGEMENT: FUZZY APPROACH TO VOLATILITY AND APPLICATION ON FTSE 100 INDEX
Loading...

Date
2014
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
ENTERPRENEURSHIP & SUSTAINABILITY CENTER
Open Access Color
GOLD
Green Open Access
Yes
OpenAIRE Downloads
OpenAIRE Views
Publicly Funded
No
Abstract
In this paper a fuzzy volatility labeling algorithm is offered to detect the periods with abnormal activities on daily share returns. Considering the vagueness in the switches of the time periods the membership functions of high and normal volatility classes are introduced. In the assignments both the density structure and membership degree are used. It is believed that this algorithm may be helpful to construct different estimation models for the time periods with normal and abnormal activities. Authors offer algorithm which can be used as a tool for sustainable risk management.
Description
Keywords
volatility, FTSE, clustering, fuzzy number, labeling, FTSE, Clustering, Volatility, Labeling, Fuzzy Number, Environmental sciences, Technological innovations. Automation, Fuzzy numbe, Labeling, Volatility, HD45-45.2, GE1-350, FTSE, Clustering
Fields of Science
0502 economics and business, 05 social sciences
Citation
WoS Q
Scopus Q

OpenCitations Citation Count
8
Source
Entrepreneurship and Sustainability Issues
Volume
2
Issue
1
Start Page
30
End Page
36
Collections
PlumX Metrics
Citations
CrossRef : 7
Captures
Mendeley Readers : 134
Web of Science™ Citations
9
checked on Apr 10, 2026
Google Scholar™


