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Method and system for modeling financial markets and assets using fractal activity time
Method and system for modeling financial markets and assets using fractal activity time
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机译：使用分形活动时间对金融市场和资产建模的方法和系统
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摘要
A method and apparatus for improved modeling of random or stochastic systems such as financial markets and instruments. The Black-Scholes model for the price of a risky asset is replaced by an improved model which uses a fractal activity time process instead of a conventional time parameter. The new model is incorporated into an algorithm for analyzing empirical data in order to determine whether an observed random process exhibits multifractal or single fractal behavior. If the algorithm finds multifractal or single fractal behavior, the new model can be used, thereby providing improved accuracy over the Black-Scholes model. The algorithm can be implemented as an interactive procedure using a standard computer hardware and software platform operating under the control of suitable software for implementing the computing steps of the disclosed algorithm.
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