ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
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چکیده
منابع مشابه
Estimating the Fractal Dimension of the S&p 500 Index Using Wavelet Analysis
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989May 2000) is analyzed, and in particular the Hurst parameter over segments of stationarity (the time period over which the Hurst parameter is almost constant) is estimated. (The segments of stationarity are a byproduct of our analysis, no prior assumption about this is made.) An asymptotically unbiased...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2004
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s021902490400258x