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Fractal Dimension for Fractal Structures

With Applications to Finance
Autor: Manuel Fernández-Martínez
CHF 135.00
ISBN: 978-3-030-16644-1
Einband: Fester Einband
Verfügbarkeit: Lieferbar in ca. 20-45 Arbeitstagen
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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 algorithms for 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.



Autor Manuel Fernández-Martínez
Verlag Springer Nature EN
Einband Fester Einband
Erscheinungsjahr 2019
Seitenangabe 204 S.
Lieferstatus Lieferbar in ca. 20-45 Arbeitstagen
Ausgabekennzeichen Englisch
Abbildungen XVII, 204 p. 31 illus., 25 illus. in color., schwarz-weiss Illustrationen, farbige Illustrationen
Masse H23.5 cm x B15.5 cm x D1.8 cm 506 g
Coverlag Springer (Imprint/Brand)
Auflage 1st ed. 2019
Reihe SEMA SIMAI Springer Series

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