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Questions tagged [fractals]

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2
votes
1answer
176 views

Weierstrass function as market movement's attractor

I suddenly realized that BTC/USD index (while being unbounded to anything, yet liquid) in times of high volatility turns itself into something really beautiful and well-structured. Stochastic ...
4
votes
2answers
294 views

Fractional Brownian motion - probability density function of the increments

I'm starting investigating the properties of the fractionally integrated brownian motion, yet I'm not able to figure out what kind of distribution should an increment of a fBM process follow, ...
1
vote
0answers
214 views

Monte Carlo simulation of Multifractional Brownian Motion in MATLAB

Code under is taken from http://en.literateprograms.org/Monte_Carlo_simulation_(Matlab) ...
9
votes
0answers
759 views

Markov-Switching Multifractal and FX Rates

Is there a better model than Markov-Switching Multifractal (MSM) for detecting regime shifts in FX rates across multiple time horizons? I am especially interested in the different aspects of the ...
5
votes
2answers
445 views

Multifractal Model, Generating Sample Paths with Correlations between Assets

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. ...
3
votes
1answer
573 views

Has there been success in applying Mandelbrot's ideas to financial markets?

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 ...
-2
votes
1answer
792 views

How to look for fractals/harmonics patterns in time series?

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 ...