FRACTAL GEOMETRY OF FINANCIAL TIME SERIES

DOI10.1142/S0218348X95000539zbMath0869.62073MaRDI QIDQ3130027

Carl J. G. Evertsz

Publication date: 22 April 1997

Published in: Fractals (Search for Journal in Brave)

zbMATH Keywords

self-similaritystock marketHurst exponentscaling behaviortime-seriesexchange rate recordsGerman stock price records

Mathematics Subject Classification ID

Related Items (17)

N-Fold compound option pricing with technical risk under fractional jump-diffusion model ⋮ FRACTAL BASES OF Lp SPACES ⋮ LINEAR GENERALIZED SYNCHRONIZATION OF SPATIAL JULIA SETS ⋮ AFFINE FRACTAL LEAST SQUARES REGRESSION MODEL ⋮ MULTIVARIATE AFFINE FRACTAL INTERPOLATION ⋮ A geometric analysis of time series leading to information encoding and a new entropy measure ⋮ Empirical scaling laws and the aggregation of non-stationary data ⋮ A fractional version of the Merton model. ⋮ A new class of rational cubic spline fractal interpolation function and its constrained aspects ⋮ Fractional order stochastic differential equation with application in European option pricing ⋮ Self-criticality and stochastic of an S{\&}P 500 index time series ⋮ Multi-scaling in finance ⋮ A proof for French's empirical formula on option pricing. ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ DISTRIBUTION OF LINEAR FRACTAL INTERPOLATION FUNCTION FOR RANDOM DATASET WITH STABLE NOISE ⋮ A \(\mathcal{C}^{1}\)-rational cubic fractal interpolation function: convergence and associated parameter identification problem ⋮ A NOVEL R/S FRACTAL ANALYSIS AND WAVELET ENTROPY CHARACTERIZATION APPROACH FOR ROBUST FORECASTING BASED ON SELF-SIMILAR TIME SERIES MODELING

This page was built for publication: FRACTAL GEOMETRY OF FINANCIAL TIME SERIES