Fractality of profit landscapes and validation of time series models for stock prices

@article{Yi2013FractalityOP,
  title={Fractality of profit landscapes and validation of time series models for stock prices},
  author={I. G. Yi and G. Oh and B. Kim},
  journal={The European Physical Journal B},
  year={2013},
  volume={86},
  pages={1-6}
}
  • I. G. Yi, G. Oh, B. Kim
  • Published 2013
  • Mathematics, Economics
  • The European Physical Journal B
  • We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters p and q, and the sell (buy) decision is made when the log return is larger (smaller) than p (−q). We discretize the unit square (p,q) ∈ [0,1] × [0,1] into the N × N square grid and the profit Π(p,q) is calculated at the center of each cell. We confirm the previous finding that… CONTINUE READING
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