Описание
• P,~face
Part Four: Fractal Noise
Having used RIS analysis IQ find evidence 10 support the Fractal Market Hypothesis, I supply models to explain those findings. Part Four approaches market
act ivity from the viewpoint of slochastic processes; as such, it concentrates on
fractal noise. [n Chapter 13, using RIS analysis, different "colored" noises are
analyzed and compared 10 the market analysis. The findings are remarkably
similar. In addition. the behavior of vola! ility is given a significant explanat ion.
Chapler 14 discusses the statistics of fraclal noise processes, and offers them as
an alternative 10 the traditional Gaussian normal distribution. The impact of
fraclal distributions on market models is discussed. Chapler 15 shows the impact of fractal statistics on the portfolio selection problem and option pricing.
Methods for adapting those models for fractal distributions are re ... ie-..ed .
Part Four is a ... ery detaited section and will not be appropriate for all readers.
Howe ... er, because the application oflraditional CMT has become ingrained into
most of the in ... estment community, I belie ... e that most readers should read the
summary seclions of each chapter, if nothing else, in Part Four. Chapter 13, with
its sludy of the nature of volalility, should be of particular interes!.
Part Five: Noisy Chaos
Part Fi ... e offers a dynamical systems alternative 10 the slochaslic processes of
Part Four. In particular, it offers noisy chaos as a possible e)(planation of the frac -
lal structure of markets. Chapter 16, which gives RIS analysis of chaotic systems. re ... eals remarkable similarities with market and other time series. A
particular emphasiS is placed on distinguishing between fractal noise and noisy
chaos. A review is given of the BOS (Brock-Dechert- Scheinkman) test, which,
when used in conjunction wilh RIS analysis, can give conclusive evidence Qne
way or the ot her. Chapter 17 applies fractal statistics 10 noisy chaos, reconciling
the two approaches. An explanation is offered for why evidence of both fractal
noise and no isy chaos can appear simultaneously. The result is closely tied to the
Fraclal Market Hypothesis and the theory of multiple investment horizons.
Chapter 18 is a review of the findings on a conceptual level. This final
chapler unites the Fractal Market Hypothesis with the empirical work and
theoretical models presented tMoughout the book. For readers who understand a problem better when they know the solution , it may be appropriate 10
read Chapter 18 first.
The appendices offer software that can be used for analYSis and reproduce
tables of the fractal distributions.
Детали
- Год издания
- 1994
- Format