Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns
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ABSTRACT
The asset price returns are multi-period (that is multi-fractal dimensional)
market depending on market scenarios which are the measure points. In this
research work, a number of continuous time stochastic models were
formulated, for the measurement of random behaviour of equity returns,
using multi-fractal measures which examine power law behaviours at
different time scales. Fractal exponent was first derived followed by a
seemingly Black-Scholes parabolic equation. The solution to this equation
was obtained under given conditions for the prediction of expected value of
assets given the fractal exponent. Also in this work, a multi-fractal spectrum
model (MSM) version of the random behaviour of equity returns of the
existing ones in literature was formulated. Furthermore, we gave some
conditions which determine the equilibrium price, the future market price and
the optimal trading strategy.
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Frontiers, E. & ADINDU-DICK, J (2021). Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns. Afribary. Retrieved from https://afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns
Frontiers, Edu, and JOY ADINDU-DICK "Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns" Afribary. Afribary, 09 Apr. 2021, https://afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns. Accessed 22 May. 2022.
Frontiers, Edu, and JOY ADINDU-DICK . "Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns". Afribary, Afribary, 09 Apr. 2021. Web. 22 May. 2022. < https://afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns >.
Frontiers, Edu and ADINDU-DICK, JOY . "Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns" Afribary (2021). Accessed May 22, 2022. https://afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns