arXiv research

Mandelbrot unified diverse fields with scaling concept.

Mandelbrot set is a closure of the set of zeroes of $resultant_x(F_n,F_m)$ for iterated maps $F_n(x)=f^{\circ n}(x)-x$ in the moduli space of maps $f(x)$. The wonderful fact is that for a given $n$ all zeroes are not chaotically scattered around the moduli space, but lie on smooth curves, with just a few cusps, located…

Researchers create a teapot model for Mandelbrot set, proving connectedness.

New framework captures non-autonomous IFS limit set topology.

This is a short review in honor of B. Mandelbrot's 80st birthday, to appear in W ilmott magazine. We discuss how multiplicative cascades and related multifractal ideas might be relevant to model the main statistical features of financial time series, in particular the intermittent, long-memory nature of the volatility.…

The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent H_s=1/2, when the increments are nonstationary, as they are in FX markets. The nonstationarity arises from s…

The paper applies communication theory to improve language model reranking.

There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset Returns (MMAR) introduc…

We suggest an original physical approach to describe the mechanism of market pricing. The core of our approach is to consider pricing at different time scales separately, using independent equations of motion. Such an approach leads to a pricing model that not only allows estimating the volatility of future market pric…

According to an analogy to quasi-Fuchsian groups, we investigate topological and combinatorial structures of Lyubich and Minsky's affine and hyperbolic 3-laminations associated with the hyperbolic and parabolic quadratic maps. We begin by showing that hyperbolic rational maps in the same hyperbolic component have quasi…

Empirical time series of inter-event or waiting times are investigated using a modified Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended dynamics. The core of the extended multifractal analysis is the non-monotonic behavior of the generalized Hurst exponent $h(q)$ -- the fundament…

For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales records posted by the Chicago Mercantile Exchange Group for the futures traded on…

In 1985, Barnsley and Harrington defined a ``Mandelbrot Set'' $\mathcal{M}$ for pairs of similarities --- this is the set of complex numbers $z$ with $0<|z|<1$ for which the limit set of the semigroup generated by the similarities $x \mapsto zx$ and $x \mapsto z(x-1)+1$ is connected. Equivalently, $\mathcal{M}$ is the …

The goal of this investigation was to overcome limitations of a persistency analysis, introduced by Benoit Mandelbrot for fractal Brownian processes: nondifferentiability, Brownian nature of process and a linear memory measure. We have extended a sense of a Hurst factor by consideration of a phase diffusion power law. …

In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $Δt$, say one week or one year. This measures how well (or how bad) the asset performs over that given period of time. It has been established tha…

Pricing of high-dimensional options is one of the most important problems in Mathematical Finance. The objective of this manuscript is to present an original self-contained treatment of the multidimensional pricing. During the past decades the Black-Scholes this model, which essentially is based on the log-normal assum…

Let $Λ$ be the limit set of a conformal dynamical system, i.e. a Kleinian group acting on either finite- or infinite-dimensional real Hilbert space, a conformal iterated function system, or a rational function. We give an easily expressible sufficient condition, requiring that the limit set is not too much bigger than …