We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the ...

We study the fractal properties of the two-dimensional (2D) discrete scale-invariant (DSI) rough surfaces. The contour lines of these rough surfaces show clear DSI. In the appropriate limit the DSI surfaces converge to the scale-invariant rough surfaces. The fractal properties of the 2D DSI rough surfaces apart from possessing the discrete scale-invariance property follow the properties of the ...

The study of the effectiveness currency market is one most important research problems in field finance. paper aims to assess efficiency Polish zloty exchange rate market. We test by applying two independent approaches, based on Uncovered Interest Parity theory, and another fractal analysis rates series. results show that holds only USD/PLN For EUR/PLN, JPY/PLN, CHF/PLN, MXN/PLN TRY/PLN, hypoth...

Animal behaviour exhibits fractal structure in space and time. Fractal properties in animal space-use have been explored extensively under the Lévy flight foraging hypothesis, but studies of behaviour change itself through time are rarer, have typically used shorter sequences generated in the laboratory, and generally lack critical assessment of their results. We thus performed an in-depth anal...

This contribution deals with the hypothesis of the existence of fractal structures in language which was proposed by Lud ek H reb cek in 1992. I will propose a systems-theoretical point of view in order to deene both an imbedding space appropriate to represent linguistic fractal structures and mappings between the observed data and the imbedding space.

in this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by rahnamaye roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with sharpe and treynor performance measures and tested by an active portfolio management approach to identify the portfolios by perform...

We attempt to reconcile Gabaix and Koijen's (GK) recent Inelastic Market Hypothesis with the order-driven view of markets that emerged within microstructure literature in past 20 years. review most salient empirical facts arguments give credence idea market price fluctuations are mostly due order flow, whether informed or non-informed. show Latent Liquidity Theory impact makes a precise predict...