Building multi-scale portfolios and efficient market frontiers using fractal regressions

DOI10.1016/J.PHYSA.2019.121758OpenAlexW2952505963WikidataQ127656460 ScholiaQ127656460MaRDI QIDQ2163896

Yanyan Li

Publication date: 11 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121758

zbMATH Keywords

scale dependenceefficient market hypothesisfractal market hypothesisfractal regressions

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (3)

STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET ⋮ Heterogeneity in economic relationships: scale dependence through the multivariate fractal regression ⋮ Extending DFA-based multiple linear regression inference: application to acoustic impedance models

Cites Work

• Unnamed Item
• Multifractal detrended fluctuation analysis of nonstationary time series
• Testing for nonlinearity in time series: the method of surrogate data
• Fractal market hypothesis and two power-laws
• CED model for asset returns and fractal market hypothesis
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Common risk factors in the returns on stocks and bonds

This page was built for publication: Building multi-scale portfolios and efficient market frontiers using fractal regressions