- Author
- Zawadzki Henryk, Mastalerz-Kodzis Adrianna
- Title
- Fraktale na rynkach finansowych
Fractals in the Financial Markets - Source
- Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Ekonometria (7), 2001, nr 895, s. 286-295, rys., bibliogr. 13 poz.
- Issue title
- Zastosowania metod ilościowych
- Keyword
- Fraktale, Rynki finansowe, Procesy stochastyczne
Fractal, Financial markets, Stochastic processes - Note
- summ.
- Abstract
- Celem artykułu jest wyeksponowanie mniej znanych (zdaniem autorów), "fraktalnych" cech trajektorii m.in. takich procesów, jak standardowy, jednowymiarowy proces ruchu Browna, geometryczny proces ruchu Browna oraz ułamkowy proces ruchu Browna. (fragment tekstu)
This article refers to the newest literature of financial mathematics. The prices of financial instruments are modeled by using stochastic processes. The graphs of the processes approximate random fractals, the processes are the solutions of stochastic differential equations. The fractals are graphs of trajectory of stochastic processes. The main purpose of this article is to present the fractional properties of the stochastic processes such as a standard, geometric and fractional Brownian motion. (original abstract) - Accessibility
- The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics - Bibliography
-
- Ayache A., Levy Vehel J.: Generalized Multilractional Brownian Motion: Definition and Preliminary Results. W: Dekking M., Levy-Vehel J., Lutton E., Tricot C. (Eds) Fractals: Theory and Applications in Engineering. New York: Springer-Verlag 1999.
- Engelking R., Sieklucki K.: Geometria i topologia. Cz. II. Topologia. Warszawa: PWN 1980.
- Falconer K.: Fractal Geometxy. Mathematical Foundations and Applications. New York: John Wiley and Sons 1997.
- Hastings H.M., Sugihara G.: Fractals. A User's Guide for the Natural Sciences. Oxford: Oxford University Press 1993.
- Kaandorp J.A.: Fractal Modelling. Growth and Form in Biology. New York, Berlin, Heidelberg: Springer-Verlag 1994.
- Kruhl J.H. (Ed.): Fractals and Dynamic Systems in Geoscience. New York, Berlin, Heidelberg: Springer-Verlag 1994.
- Levy-Vehel J., Lutton E., Tricot C. (Eds.): Fractals in Engineering. New York, Berlin, Heidelberg: Springer-Verlag 1997.
- Losa G.A., Merlini D., Nonnenmacher T.F., Weibel E.R. (Eds.): Fractals in Biology and Medicine (Vol. II). Boston: Birkhauser 1994.
- Mandelbrot B.B., van Ness J.W.: Fractional Brownian Motions, Fractional Noises and Applications. "SIAM Review" 1968, 10, s. 422-437.
- Mandelbrot B.B.: The Fractal Geometry of Nature. New York: W.H. Freeman & Company 1983.
- Mandelbrot B.B.: Fractals and Scaling in Finance. New York, Berlin, Heidelberg: Springer-Verlag 1997.
- Peltier R.F., Levy Vehel J.: Multifractional Brownian Motion: Definition and Preliminary Results. Rapport de Recherche, INRIA, 1995 No 2645.
- Sobczyk K.: Stochastyczne równania różniczkowe: Warszawa: Wydawnictwa Naukowo-Techniczne 1996.
- Cited by
- ISSN
- 0324-8445
1507-3866 - Language
- pol
