Fractal market hypothesis and two power-laws

DOI10.1016/S0960-0779(98)00295-1zbMath1160.91363OpenAlexW2062502821MaRDI QIDQ997475

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

Related Items (7)

Building multi-scale portfolios and efficient market frontiers using fractal regressions ⋮ STUDY ON PORTFOLIO MODEL UNDER BACKGROUND RISK AND FRACTAL MARKET ⋮ Identification and validation of stable ARFIMA processes with application to UMTS data ⋮ Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates ⋮ Complexity and uncertainty analysis of financial stock markets based on entropy of scale exponential spectrum ⋮ Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility ⋮ A proof for French's empirical formula on option pricing.

Cites Work

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

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