Fractal Market Analysis
Applying Chaos Theory to Investment and Economics
Wiley Finance Editions
1. Auflage März 1994
XVIII, 318 Seiten, Hardcover
Wiley & Sons Ltd
ISBN:
978-0-471-58524-4
John Wiley & Sons
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.
FRACTAL TIME SERIES.
Failure of the Gaussian Hypothesis.
A Fractal Market Hypothesis.
FRACTAL (R/S) ANALYSIS.
Measuring Memory--The Hurst Process and R/S Analysis.
Testing R/S Analysis.
Finding Cycles: Periodic and Nonperiodic.
APPLYING FRACTAL ANALYSIS.
Case Study Methodology.
Dow Jones Industrials, 1888-1990: An Ideal Data Set.
S&P 500 Tick Data, 1989-1992: Problems with Oversampling.
Volatility: A Study in Antipersistence.
Problems with Undersampling: Gold and U.K.
Inflation.
Currencies: A True Hurst Process.
FRACTAL NOISE.
Fractional Noise and R/S Analysis.
Fractal Statistics.
Applying Fractal Statistics.
NOISY CHAOS.
Noisy Chaos and R/S Analysis.
Fractal Statistics, Noisy Chaos, and the FMH.
Understanding Markets.
Appendices.
Bibliography.
Glossary.
Index.
Failure of the Gaussian Hypothesis.
A Fractal Market Hypothesis.
FRACTAL (R/S) ANALYSIS.
Measuring Memory--The Hurst Process and R/S Analysis.
Testing R/S Analysis.
Finding Cycles: Periodic and Nonperiodic.
APPLYING FRACTAL ANALYSIS.
Case Study Methodology.
Dow Jones Industrials, 1888-1990: An Ideal Data Set.
S&P 500 Tick Data, 1989-1992: Problems with Oversampling.
Volatility: A Study in Antipersistence.
Problems with Undersampling: Gold and U.K.
Inflation.
Currencies: A True Hurst Process.
FRACTAL NOISE.
Fractional Noise and R/S Analysis.
Fractal Statistics.
Applying Fractal Statistics.
NOISY CHAOS.
Noisy Chaos and R/S Analysis.
Fractal Statistics, Noisy Chaos, and the FMH.
Understanding Markets.
Appendices.
Bibliography.
Glossary.
Index.