Comparative analysis of the attractiveness of investment instruments based on the analysis of market dynamics

Abstract

The article continues the authors' research on solving the problem of choosing the most attractive investment instrument from a variety of alternatives, based on a comparative analysis of the dynamics for the respective markets. The nature of the dynamics affects the predictability level of the investor's income and is determined by finding out which hypothesis corresponds to the dynamics: the efficient market hypothesis, the fractal market hypothesis and the coherent market hypothesis. The methodology of comparative analysis developed by the authors is based on the use of statistical analysis methods combined with the methods of complex fractal analysis. It makes it possible to reveal the presence of deterministic chaos in the dynamics and to obtain estimates of the long-term memory in time series. The calculated characteristics of the fuzzy set of the memory depth for time series make it possible to draw conclusions about the financial instruments preference for the investor. The methodology developed by the authors is applied to three markets. A comparative analysis of three instruments (gold, EUR/USD currency pair and Bitcoin cryptocurrency) was carried out. The dynamics of prices and profitability for financial instruments in the conditions before the onset of the COVID-19 crisis and during it is considered.