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Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

ISBN: 978-0-471-58524-4
Hardcover
336 pages
March 1994
List Price: US $115.00
Government Price: US $61.20
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Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (0471585246) cover image

FRACTAL TIME SERIES.

Failure of the Gaussian Hypothesis.

A Fractal Market Hypothesis.

FRACTAL (R/S) ANALYSIS.

Measuring Memory--The Hurst Process and R/S Analysis.

Testing R/S Analysis.

Finding Cycles: Periodic and Nonperiodic.

APPLYING FRACTAL ANALYSIS.

Case Study Methodology.

Dow Jones Industrials, 1888-1990: An Ideal Data Set.

S&P 500 Tick Data, 1989-1992: Problems with Oversampling.

Volatility: A Study in Antipersistence.

Problems with Undersampling: Gold and U.K.

Inflation.

Currencies: A True Hurst Process.

FRACTAL NOISE.

Fractional Noise and R/S Analysis.

Fractal Statistics.

Applying Fractal Statistics.

NOISY CHAOS.

Noisy Chaos and R/S Analysis.

Fractal Statistics, Noisy Chaos, and the FMH.

Understanding Markets.

Appendices.

Bibliography.

Glossary.

Index.
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