Fractal market hypothesis and two power-laws
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Publication:997475
DOI10.1016/S0960-0779(98)00295-1zbMATH Open1160.91363OpenAlexW2062502821MaRDI QIDQ997475FDOQ997475
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
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Cites Work
- ARCH modeling in finance. A review of the theory and empirical evidence
- Modeling asset returns with alternative stable distributions*
- Statistical methods in finance
- Conditionally exponential dependence model for asset returns
- Asymptotic behaviour of stochastic systems with conditionally exponential decay property
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- CED model for asset returns and fractal market hypothesis
- A distribution-based method to gauge market liquidity through scale invariance between investment horizons
- A proof for French's empirical formula on option pricing.
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- Multifractal financial markets. An alternative approach to asset and risk management
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- Identification and validation of stable ARFIMA processes with application to UMTS data
- Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates
- On the origin of power-law tails in price fluctuations
- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
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- Building multi-scale portfolios and efficient market frontiers using fractal regressions
- STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET
- Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum
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