Wykorzystanie teorii chaosu do badania bankructwa spółek giełdowych w Polsce

Streszczenia pracy wersja polska i angielska - załączone jako pliki.pdf

The dissertation is an attempt to create the fractal analysis of Polish capital market on the example of selected companies listed on the Warsaw Stock Exchange in terms of their economic condition. The aim of this thesis is to analyze the use of deterministic chaos methods to investigate the bankruptcy of listed companies in Poland. The main hypothesis of the dissertation is to demonstrate that bankruptcy of stock companies in Poland can be effectively predicted by the use of the theory of deterministic chaos. In this dissertation I managed to positively verify the following detailed hypotheses were, which were formulated as follows: 1. Positive Lapunov exponents are the determinant of the fractability of Polish listed companies and determine the rate at which we lose the ability to predict future behaviors of a given stock exchange company, and that the higher the Lapunov exponents, the greater the incoherence of the system and the uncertainty of prognosis ( H1). 2. Declining stock exchanges in Poland have a high fractal dimension compared to companies with good economic condition (H2). 3. Declining stock exchanges in Poland have a low Hurst exponent compared to companies with good economic condition (H3). The dissertation is divided into five chapters. In the first chapter, I discussed the topic of business bankruptcy, describing the essence of business bankruptcy, the bankruptcy of an enterprise in selected economic theories, the essence of a bankruptcy of a listed company, and the selected methods of measuring and forecasting of business bankruptcy. The second chapter covers selected elements of the theory of deterministic chaos. The essence of deterministic chaos, selected examples of the use of chaos in economics, as well as the methodology of own research concerning the fractal properties of selected companies in the Polish stock exchange are presented here. In the third chapter, Lapunov exponents were analyzed as the determinants of fractal and the rate of loss of ability to predict future behaviors of listed companies of the Polish stock exchange. The structure of the chapter covered: the essence of Lapunov exponents, the identification of Lapunov's exponents on the example of selected listed companies of the Polish stock exchange (on the basis of own research) together with a summary of the considerations. In the fourth chapter, I considered the issues related to the use of fractal dimensions for predicting the bankruptcy of listed companies in Poland, ie the essence of fractal and correlation dimensions, the analysis of selected listed companies in Poland using fractal dimensions (based on own research). The fifth chapter concerns the application of R/S analysis to predict the bankruptcy of listed companies in Poland. The chapter presents the essence of R / S analysis and the analysis of selected stock companies in Poland using R / S analysis (based on own research). The final part of the dissertation contains its summary and conclusions. The problems presented in the dissertation depict that the chaos theory has a significant application in the analysis of investors' stock market decisions. This analysis can be successfully used on the Warsaw Stock Exchange.