Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns

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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APA

ADINDU-DICK, J (2021). Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns. Afribary. Retrieved from https://track.afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns

MLA 8th

ADINDU-DICK, JOY "Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns" Afribary. Afribary, 09 Apr. 2021, https://track.afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns. Accessed 23 Nov. 2024.

MLA7

ADINDU-DICK, JOY . "Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns". Afribary, Afribary, 09 Apr. 2021. Web. 23 Nov. 2024. < https://track.afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns >.

Chicago

ADINDU-DICK, JOY . "Multi-Fractal Spectrum Model For The Measurement of Random Behavior of Equity Returns" Afribary (2021). Accessed November 23, 2024. https://track.afribary.com/works/multi-fractal-spectrum-model-for-the-measurement-of-random-behavior-of-equity-returns