Fractals and Intrinsic Time - A Challenge to Econometricians

@inproceedings{Mller1999FractalsAI,
  title={Fractals and Intrinsic Time - A Challenge to Econometricians},
  author={Ulrich A. M{\"u}ller and Michel M. Dacorogna and Rakhal R. Dav{\'e} and Olivier V. Pictet and Richard B. Olsen and J. Robert Ward},
  year={1999}
}
  • Ulrich A. Müller, Michel M. Dacorogna, +3 authors J. Robert Ward
  • Published 1999
A fractal approach is used to analyze financial time series, applying different degrees of time resolution, and the results are interrelated. Some fractal properties of foreign exchange (FX) data are found. In particular, the mean size of the absolute values of price changes follows a “fractal” scaling law (a power law) as a function of the analysis time interval ranging from a few minutes up to a year. In an autocorrelation study of intra-day data, the absolute values of price changes are seen… CONTINUE READING

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