Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

FRACTAL TIME SERIES. Failure of the Gaussian Hypothesis. A Fractal Market Hypothesis. FRACTAL (R/S) ANALYSIS. Measuring Memory----The Hurst Process and R/S Analysis. Testing R/S Analysis. Finding Cycles: Periodic and Nonperiodic. APPLYING FRACTAL ANALYSIS. Case Study Methodology. Dow Jones Industrials, 1888--1990: An Ideal Data Set. S&P 500 Tick Data, 1989--1992: Problems with Oversampling. Volatility: A Study in Antipersistence. Problems with Undersampling: Gold and U.K. Inflation. Currencies: A True Hurst Process. FRACTAL NOISE. Fractional Noise and R/S Analysis. Fractal Statistics. Applying Fractal Statistics. NOISY CHAOS. Noisy Chaos and R/S Analysis. Fractal Statistics, Noisy Chaos, and the FMH. Understanding Markets. Appendices. Bibliography. Glossary. Index.