Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

摘要: FRACTAL TIME SERIES. Failure of the Gaussian Hypothesis. A Fractal Market (R/S) ANALYSIS. Measuring Memory----The Hurst Process and R/S Analysis. Testing Finding Cycles: Periodic Nonperiodic. APPLYING Case Study Methodology. Dow Jones Industrials, 1888--1990: An Ideal Data Set. S&P 500 Tick Data, 1989--1992: Problems with Oversampling. Volatility: in Antipersistence. Undersampling: Gold U.K. Inflation. Currencies: True Process. NOISE. Fractional Noise Statistics. Applying NOISY CHAOS. Noisy Chaos Statistics, Chaos, FMH. Understanding Markets. Appendices. Bibliography. Glossary. Index.