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Fractal Dimension for Fractal Structures: With Applications to Finance
Hardcover
Series: Sema Simai Springer, Book 19
General MathematicsProbability & Statistics
ISBN13: 9783030166441
Publisher: Springer Nature
Published: May 8 2019
Pages: 204
Weight: 1.08
Height: 0.56 Width: 6.14 Depth: 9.21
Language: English
This book provides a generalised approach to fractal dimension theory from the standpoint of asymmetric topology by employing the concept of a fractal structure. The fractal dimension is the main invariant of a fractal set, and provides useful information regarding the irregularities it presents when examined at a suitable level of detail. New theoretical models for calculating the fractal dimension of any subset with respect to a fractal structure are posed to generalise both the Hausdorff and box-counting dimensions. Some specific results for self-similar sets are also proved. Unlike classical fractal dimensions, these new models can be used with empirical applications of fractal dimension including non-Euclidean contexts.
In addition, the book applies these fractal dimensions to explore long-memory in financial markets. In particular, novel results linking both fractal dimension and the Hurst exponent are provided. As such, the book provides a number of algorithmsfor properly calculating the self-similarity exponent of a wide range of processes, including (fractional) Brownian motion and Lévy stable processes. The algorithms also make it possible to analyse long-memory in real stocks and international indexes.
This book is addressed to those researchers interested in fractal geometry, self-similarity patterns, and computational applications involving fractal dimension and Hurst exponent.
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