Mandelbrot and momentum effects

Excerpt:

In Mandelbrot’s view, “markets were fractal and much wilder than classical theory suggests…Recently, we were able to show that the scaling behavior of trends, as defined by a specific trend decomposition using wavelets, are the root cause for the momentum effect…

In this work, we will revisit Mandelbrot’s vision of fractal markets… We will show that the momentum effect discussed heavily in literature can be modeled by the so-called Mandelbrot Market-Model.”

Link to paper here.

Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s