A Fractal Statistical Analysis of Enron Stock Prices

This study examined the stock prices of Enron for the periods 1997 to 2002 with the use of fractal statistical analysis. The researchers posited that, since stock prices are products of human decisions, it should follow a fractal distribution. Any deviation from this fractal distribution is deemed to represent interventions and manipulations. Using the fundamental theorem of fractal statistics, the results of the analysis revealed that Enron’s stock prices exhibit a hidden fractal dimension that, when uncovered, showed how it reflects the investors’ risk exposure in the periods before and after the fraud. The researchers also examined the fractal dimension of the cluster of stock prices found to exhibit a fractal distribution in the pre and post fraud periods. Results of the analysis led to the conclusion that the fractal dimension of stock prices can be an indicator of how close or how far stock prices are to its “natural” behaviour. The farther it moves from this natural state, the higher is the risk associated with it.

Abstract licence: CC BY-NC

A person counts once a day per paper. We keep no cookie and no address: a reader is a hash that changes every day. Any month under five reads shows no number.