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《Fractal Geometry of Financial Time Series》.pdf
Appeared in: Fractals Vol. 3, No. 3, pp. 609-616 (1995), and in: Fractal Geometry and Analysis,
The Mandelbrot Festschrift, Cura¸cao 1995, World Scientific (1996)
FractalGeometryofFinancialTimeSeries
CarlJ.G.Evertsz
Center for Complex Systems and Visualization, University of Bremen
FB III, Box 330 440, D-28334 Bremen, Germany
Abstract– A simple quantitative measure of the self-similarity
in time-series in general and in the stock market in particular is
the scaling behavior of the absolute size of the jumps across lags
of size k. A stronger form of self-similarity entails not only that
this mean absolute value, but also the full distributions of lag-k
jumps have a scaling behavior characterized by the above Hurst
exponent. In 1963 Benoit Mandelbrot showed that cotton prices
have such a strong form of (distributional) self-similarity, and for
the first time introduced L´evy’s stable random variables in the
modeling of price records. This paper discusses the analysis of the
self-similarity of high-frequency DEM-USD exchange rate records
and the 30 main German stock price records. Distributional self-
similarity is found in both cases and some of its consequences are
discussed.
1 Introduction
Self-similarity[1] in financial price records manifests itself in the virtual impossibility to distin-
guish a daily price record from, say, a monthly, when the axis are not labeled. Figure 1 illustrates
this phenomenon for the German DAX composite index. The left figure plots the logarithm of
the daily closing prices of the index over the period 1986 to 1993.
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