Large deviation and self-similarity analysis of graphs : DAX stock prices

@inproceedings{Evertsz1995LargeDA,
  title={Large deviation and self-similarity analysis of graphs : DAX stock prices},
  author={Carl J. G. Evertsz and Kathrin Berkner},
  year={1995}
}
Two methods for analyzing graphs such as those occurring in the stock market, geographical profiles and rough surfaces, are investigated. They are based on different scaling laws for the distributions of jumps as a function of the lag. The first is a large deviation analysis, and the second is based on the concept of a self-similar process introduced by Mandelbrot and van Ness. We show that large deviation analysis does not apply to either the stock market nor fractional Brownian motion (H = 0… CONTINUE READING