Fractality of profit landscapes and validation of time series models for stock prices

DOI10.1140/epjb/e2013-31116-3zbMath1515.91115arXiv1308.1749OpenAlexW1972173805MaRDI QIDQ6176837

Gabjin Oh, Beom Jun Kim, Il Gu Yi

Publication date: 26 July 2023

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.1749

zbMATH Keywords

statistical and nonlinear physics

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Implementing models in quantitative finance: methods and cases
• Lévy Processes and Stochastic Calculus
• Theory of Financial Risk and Derivative Pricing
• Empirical properties of asset returns: stylized facts and statistical issues
• Introduction to Econophysics
• Fractional Brownian Motions, Fractional Noises and Applications
• Forecasting multifractal volatility

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