# Questions tagged [fractal]

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### An Intuitive Explanation of Multifractality in Financial Time Series

Can anyone please give an intuitive explanation of multifractality in financial time series? Most definitions I came across are either purely mathematical or not in relation to finance. As for the ...
• 638
190 views

### Interpretation of box-counting method from R

I tried to calculate the fractal dimension of a dataset using the box-counting method with R programming. I used two packages: The first one is fractaldim, ...
• 1,487
1 vote
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### Fractional Brownian motion with additional terms

Fractional Brownian motion seems fairly a straight forward random process with a kind of auto-correlation function,  \mathbb{E}\left[ B^H_t B^H_s \right] = \frac{1}{2} \left( |t|^{2H} + |s|^{2H} - |...
• 183
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### Compare long range dependence among non-stationary multivariate time series'

I have 5 non-stationary multivariate time series' and I need to compare the "strength" of long range dependence among them. I have found many papers on long range dependence estimation (parametric, ...
• 1
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• 3,679
1 vote
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### Assumptions for Hurst exponent calculation

Are there any general assumptions for the calculation of the Hurst exponent? Does the signal need to be stationary, for example? Does it depend on the method? What about the length of the time ...
• 131
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### Determining the roughness of a multidimensional optimization surface [duplicate]

Is there a way to determine the roughness of an n-dimensional optimization surface (n > 3)? Preferably a method that uses measures from fractal geometry/chaos theory...
• 121
3k views

### Hurst exponent calculation methodology

I am looking for the Hurst exponent calculation methodology. Please suggest online materials / methodology papers.