Large deviation and self-similarity analysis of graphs: DAX stock prices

DOI10.1016/0960-0779(95)80019-DzbMath0900.90010OpenAlexW2029089349MaRDI QIDQ1392899

Kathrin Berkner, Carl J. G. Evertsz

Publication date: 12 November 1998

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

Full work available at URL: https://doi.org/10.1016/0960-0779(95)80019-d

Mathematics Subject Classification ID

Large deviations (60F10)

Related Items (7)

Eddy-viscous modeling and the topology of extreme circulation events in three-dimensional turbulence ⋮ Interaction of fractal processes with linear systems. ⋮ Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates ⋮ Self-criticality and stochastic of an S{\&}P 500 index time series ⋮ Financial multifractality and its subtleties: An example of DAX ⋮ A proof for French's empirical formula on option pricing. ⋮ Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).

Cites Work

• Fractal measures and their singularities: The characterization of strange sets
• Fractional Brownian Motions, Fractional Noises and Applications
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