Fractal Market Analysis: Applying Chaos Theory to Investment and EconomicsJohn Wiley & Sons, 8 de fev. de 1994 - 336 páginas A leading pioneer in the field offers practical applications of this innovative science. Peters describes complex concepts in an easy-to-follow manner for the non-mathematician. He uses fractals, rescaled range analysis and nonlinear dynamical models to explain behavior and understand price movements. These are specific tools employed by chaos scientists to map and measure physical and now, economic phenomena. |
Conteúdo
Failure of the Gaussian Hypothesis | 18 |
A Fractal Market Hypothesis | 39 |
Summary | 49 |
Measuring MemoryThe Hurst Process and RS Analysis | 53 |
Testing RS Analysis | 65 |
Periodic and Nonperiodic | 86 |
Case Study Methodology | 107 |
Problems with | 132 |
ARFIMA Models | 188 |
Summary | 196 |
Applying Fractal Statistics | 217 |
Noisy Chaos and RS Analysis | 235 |
Distinguishing Noisy Chaos from Fractional Noise | 246 |
Fractal Statistics Noisy Chaos and the FMH | 252 |
Understanding Markets | 271 |
The Chaos Game | 277 |
Implications | 141 |
A Study in Antipersistence | 143 |
Gold and U K Inflation | 151 |
A True Hurst Process | 159 |
Fractional Noise and RS Analysis | 169 |
Fractal Distribution Tables | 287 |
| 296 | |
Glossary | 306 |
| 313 | |
Outras edições - Ver todos
Fractal Market Analysis: Applying Chaos Theory to Investment and Economics Edgar E. Peters Visualização parcial - 1994 |
Termos e frases comuns
1/f noise alpha antipersistent ARCH attractor autoregressive behavior black noise brownian motion calculated capital markets changes chaotic Chapter correlation currencies deterministic Dow Jones Dow Jones Industrials dynamical system estimate examine exchange rate Fama and Roll five-day returns fractal dimension fractal distributions Fractal Market Hypothesis fractal statistics fractional noise frequency distribution GARCH Gaussian graph Hurst exponent Hurst process implied volatility infinite variance Log(Number of Observations Log(R/S log/log plot long-memory long-term investors Mackey-Glass equation Mandelbrot mean moving average noise process noisy chaos nonperiodic cycles normal distribution number of observations observational noise option parameter period persistent phase space pink noise portfolio problem R/S analysis R/S values random number random walk Regression output rescaled range residuals risk sample scale self-similar short-term shows significant simulated stable distributions standard deviation Standard error stochastic structure of volatility system noise Table tails theory tion trading value of H variable white noise
Passagens mais conhecidas
Página 303 - Bias in Fitting the Sharpe Model to Time Series Data," Journal of Financial and Quantitative Analysis, September 1969.
Referências a este livro
Die Rolle des Volumens bei der Aktienkursprognose unter besonderer ... Reza Darius Montassér Prévia não disponível - 2003 |
The International Political Economy of Investment Bubbles Paul Sheeran,Amber Spain Prévia não disponível - 2004 |