Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat LCCN Permalink Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Risky assets pricing in a fractal market
Available online: 25 December 2009 Subject Heading: The financial market JEL Classification:
Within the framework of the research fractal properties of Russian and American stock markets are investigated. It is shown that the markets being analyzed do not contradict the assumptions of fractal market hypothesis. Keywords: stock index, future option, fractional Brownian motion, arbitrage, proportional transaction costs, Hurst parameter, correlation dimension, non-periodic cycles, persistence, black noise |
ISSN 2311-8709 (Online)
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