WIT Press


Time Series Analysis: Mandelbrot Theory At Work In Economics

Price

Free (open access)

Paper DOI

10.2495/IMS970261

Volume

15

Pages

6

Published

1997

Size

546 kb

Author(s)

M.F. Guiducci and M.I. Loflredo

Abstract

The consequences of the Gaussian hypothesis, which leads to the Efficient Market Hypothesis, are investigated in the framework of time teries tnalysis in economics. The validity of an alternative model, based on Mandelbrot theory, is discussed using the Rescaled Range technique. Hurst exponents related to the underlying fractional Brownian motion are evaluated. 1 Introduction Representing time series for financial markets as non-linear dynamical systems with many degrees of freedom, within the framework of the theory of chaos and fractionals, can be traced back to papers published by Mandelbrot [1,2]. Starting from the discrepancy between the natural consequences of the Efficient Market Hypothesis and the real behavior of financial time series, he took into account a wider choice of underlying probability spaces whose

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