ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS

DOI10.1142/S021902490400258XzbMath1088.91051arXivmath/0703834OpenAlexW1977159695MaRDI QIDQ4653043

K. Ronnie Sircar, H. Vincent Poor, Erhan Bayraktar

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703834

zbMATH Keywords

fractional Brownian motionwavelet analysislong range dependenceHigh-frequency dataheavy tailed marginalslog scale spectrumS\& P 500 index

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (16)

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