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Questions tagged [fractals]

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6 votes
1 answer
307 views

Portfolio construction: If modern portfolio theory is not good than what else?

MPT and Mean Variance optimisation do not take into account fat tails and many other things like the problema in estimating the co variances etc. Nassim Taleb has been arguing this for a long time, ...
randomwalker's user avatar
1 vote
0 answers
150 views

An Intuitive Explanation of Multifractality in Financial Time Series

Can anyone please give an intuitive explanation of multifractality in financial time series? Most definitions I came across are either purely mathematical or not in relation to finance. As for the ...
Blg Khalil's user avatar
7 votes
1 answer
349 views

Realised variance under simple rough volatility model

Using the Mandelbrot-Vann Ness representation of fractional Brownian motion in terms of Wiener integrals, increments of the logarithm of realized variance $v = \sigma^{2}$, under the physical measure $...
lays's user avatar
  • 446
6 votes
1 answer
1k views

What are the differences between Pareto, Fréchet, power law, fat tails and fractal?

I do get that these concepts are well-defined, but I am referring to extreme value theory in particular, and the fact that these ideas are often tossed around as synonyms, leaving the details and ...
Antoni Parellada's user avatar
3 votes
1 answer
1k 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 ...
Jarro's user avatar
  • 65
5 votes
2 answers
487 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, ...
james42's user avatar
  • 676
1 vote
0 answers
291 views

Monte Carlo simulation of Multifractional Brownian Motion in MATLAB

Code under is taken from http://en.literateprograms.org/Monte_Carlo_simulation_(Matlab) ...
lyrgo ft's user avatar
16 votes
0 answers
1k 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 ...
ismael's user avatar
  • 303
5 votes
2 answers
628 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. ...
UmaN's user avatar
  • 523
3 votes
1 answer
720 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 ...
Stu's user avatar
  • 377
-2 votes
1 answer
983 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 ...
Robert Szóstakowski's user avatar