摘要: A simple quantitative measure of the self-similarity in time-series general and stock market particular is scaling behavior absolute size jumps across lags k. stronger form entails that not only this mean value, but also full distributions lag-k have a characterized by above Hurst exponent. In 1963, Benoit Mandelbrot showed cotton prices such strong (distributional) self-similarity, for first time introduced Levy’s stable random variables modeling price records. This paper discusses analysis high-frequency DEM-USD exchange rate records 30 main German Distributional found both cases some its consequences are discussed.
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