PL EN


2013 | 159 | 73-81
Article title

Zastosowanie funkcji Höldera w modelu FRAMA

Content
Title variants
EN
Application of Hölder Function in Frama`s Model
Languages of publication
PL
Abstracts
EN
The aim of this work is to present models to support an investor in decision making, which includes new market tendencies. The process of investing into financial markets is a dynamic process depending on frequent changes, witch direction and impact is difficult to predict in the long periods of time. The article presents theoretical basis and practical applications of selected quantity methods that can be used in building investing strategy, where elements of fractal analyses and of classical statistics theories are included. The new approach to create a model of securities, based on fractal analysis with Hölder function is an alternative to classical models. The article consists of two basic parts. The first presents formulas and references as well as applied methods for data analyses; the other is of empiric character.
Year
Volume
159
Pages
73-81
Physical description
Contributors
References
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  • Mastalerz-Kodzis A. (2003): Modelowanie procesów na rynku kapitałowym za pomocą multifraktali. Wydawnictwo Akademii Ekonomicznej, Katowice.
  • Peltier R.F., Lévy Véhel J. (1995): Multifractional Brownian Motion: Definition and Preliminary Results. INRIA Recquencourt, Rapport de recherche No. 2645.
  • Peters E. (1997): Fractal Market Analysis: Applying Chaos Theory to Investment and Economics. John Wiley & Sons, New York.
  • E. Peters (1997): Teoria chaosu a rynki finansowe. Nowe spojrzenie na cykle, ceny i ryzyko. Wig Press, Warszawa.
  • Stawicki J., Janiak E., Müller-Frączek E. (1998): Fractional Differencing of Time Series - Hurst Exponent, Fractal Dimension. "Dynamic Econometric Models", Vol. 3.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-3f9aefcc-fbb3-4129-9134-cf991f34444d
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