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

  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},
  • 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
    3 Citations

    Figures and Tables from this paper.


    Fractal Profit Landscape of the Stock Market
    • 11
    • PDF
    Scaling of the distribution of fluctuations of financial market indices.
    • 713
    • PDF
    Statistical properties of the volatility of price fluctuations.
    • 632
    • PDF
    Forecasting Multifractal Volatility
    • 265
    • PDF
    Theory Of Financial Risk And Derivative Pricing
    • 581
    Options, Futures, and Other Derivatives
    • 6,544
    • Highly Influential
    • PDF
    Introduction to Econophysics
    • 1,027