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Time series analysis: Mandelbrot theory at work in economics

M. F. Guiducci
M. I. Loffredo
Journal / Anthology

Innovation in Mathematics: Proceedings of the Second International Mathematica Symposium
Year: 1997
Page range: 193-198

The consequences of the Gaussian hypothesis, which leads to the Efficient Market Hypothesis, are investigated in the framework of time series analysis in economics. The validity of an alternative model, based on Mandelbrot theory, is discussed using the Rescaled Range technique. Hurst exponents related tot he underlying fractional Brownian motion are evaluated.

*Business and Economics
*Mathematics > Probability and Statistics