Essays about: "fractal finance"

Found 4 essays containing the words fractal finance.

  1. 1. How to Avoid Bankruptcy?: Monte Carlo Simulation of Three Financial Markets, using the Multifractal Model of Asset Returns

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rostislav Sibirtsev; [2019]
    Keywords : Multifractal Model of Asset Returns MMAR ; Simulation; Fractal; Kurtosis; Dependence;

    Abstract : This paper has been an effort to apply fractal mathematics to understanding the general behaviour of financial markets. Fractals are special shapes that look similar at various scales. The specific model used is called the Multifractal Model of Asset Returns (MMAR) - the first ever model used for multifractal financial analysis. READ MORE

  3. 2. Finance Forecasting in Fractal Market Hypothesis

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Wangke Lin; [2015]
    Keywords : ;

    Abstract : .... READ MORE

  4. 3. How Irrational Behavour Creates Order and How This Order Can Be Determined : The Theory and Practice of Fractal Market Analysis

    University essay from IHH, Nationalekonomi

    Author : Daniil Bargman; [2011]
    Keywords : behavioural finance; chaos theory; financial economics; fractal theory; frequency domain representation; harmonic analysis; Fourier transform; market efficiency; Minority Game;

    Abstract : This paper analyzes two main frameworks that challenge the “mainstream” finance theory and the random walk hypothesis. The first framework is based on investor irrationality and is called Behavioural Finance. The second framework views the financial market as a chaotic system and is called Fractal Theory of a financial market. READ MORE

  5. 4. On the Relevance of Fractional Gaussian Processes for Analysing Financial Markets

    University essay from Matematiska och systemtekniska institutionen

    Author : Haidar Al-Talibi; [2007]
    Keywords : Fractional Brownian motion; Fractional Gaussian noise; semmimartingale; volatility.;

    Abstract : In recent years, the field of Fractional Brownian motion, Fractional Gaussian noise and long-range dependent processes has gained growing interest. Fractional Brownian motion is of great interest for example in telecommunications, hydrology and the generation of artificial landscapes. READ MORE