Fractal market hypothesis and two power-laws

DOI10.1016/S0960-0779(98)00295-1MaRDI QIDQ997475zbMATHOpenAlexFDO

Authors Aleksander Weron, Rafał Weron

Publication date 6 August 2007

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0960-0779(98)00295-1

Mathematics Subject Classification ID

Recommendations

• CED model for asset returns and fractal market hypothesis
• Financial power laws: empirical evidence, models, and mechanisms
• scientific article; zbMATH DE number 2095956
• Long range dependence in financial markets
• scientific article; zbMATH DE number 2145165

Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• Asymptotic behaviour of stochastic systems with conditionally exponential decay property
• Conditionally exponential dependence model for asset returns
• Modeling asset returns with alternative stable distributions^*
• Statistical methods in finance

Cited in

(15)

• Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum
• scientific article; zbMATH DE number 2145165 (Why is no real title available?)
• Building multi-scale portfolios and efficient market frontiers using fractal regressions
• A proof for French's empirical formula on option pricing.
• Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates
• The high order dispersion analysis based on first-passage-time probability in financial markets
• scientific article; zbMATH DE number 2222639 (Why is no real title available?)
• scientific article; zbMATH DE number 5082553 (Why is no real title available?)
• On the origin of power-law tails in price fluctuations
• A distribution-based method to gauge market liquidity through scale invariance between investment horizons
• Identification and validation of stable ARFIMA processes with application to UMTS data
• Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
• CED model for asset returns and fractal market hypothesis
• Study on portfolio model under background risk and fractal market
• Multifractal financial markets. An alternative approach to asset and risk management

This page was built for publication: Fractal market hypothesis and two power-laws

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q997475)