不等間隔時系列のフラクタル解析

DOI Web Site 被引用文献3件 参考文献9件

書誌事項

タイトル別名
  • Fractal Analysis for Non-equidistant Time Series
  • フトウ カンカク ジケイレツ ノ フラクタル カイセキ

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説明

We propose a new method to describe fractal structure of data, which are non-equidistant in physical time, and apply this method to fractional Brownian motions. Using extended extreme values, we define functions independent of time scale. Moreover, a kind of fractal dimension is measured. In high frequency financial data, observations can occur at varying time intervals. Using these functions, we can analyze non-equidistant data without interpolation or evenly resampling. Moreover, the problem of choosing the appropriate time scale is avoided. Lastly, these functions are related to a viewpoint of investor with constant transaction costs.

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