I have studied option pricing using Geometric Brownian Motion to generate sample paths. Because of the normal distribution, it is easy to create a covariance matrix and get correlated asset returns. ...
More specifically, I am looking for recent research papers that have harnessed Mandelbrot's ideas too successfully predict asset prices. I have read many papers about wavelets, and I would like to ...
I want to build trading systems based on two things: 1)Fractal Theory 2)Harmonics Pattern I have read the book : The Misbehavior of Markets: A Fractal View of Financial Turbulence By Mandelbrot ...