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Long-range dependency / Normal distribution / Hurst exponent / Brownian motion / Stochastic volatility / Wavelet / Random walk / Black–Scholes / Time series / Statistics / Stochastic processes / Fractional Brownian motion


Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis Erhan Bayraktar
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Document Date: 2003-12-22 16:14:29

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Company

Cox / New York Stock Exchange / /

Currency

pence / /

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Facility

Princeton University / /

IndustryTerm

wavelet tool / pyramidal algorithm / Internet trading / finance / finance theory / path-wise product / financial applications / /

MarketIndex

S&P 500 / /

Organization

Princeton University / Department of Operations Research & Financial Engineering / Department of Electrical Engineering / /

Person

Elliot / H. Vincent Poor / Van der Hoek / Berry-Essen Theorem(see / K. Ronnie Sircar / /

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Position

suitable model for stock price dynamics / trader / /

ProvinceOrState

New Jersey / /

Technology

pyramidal algorithm / simulation / /

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