A fractal analysis of US industrial sector stocks

Taro Ikeda
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Taro Ikeda: Graduate School of Economics, Kobe University

No 1643, Discussion Papers from Graduate School of Economics, Kobe University

Abstract: This paper found that most of US industrial sectors are fractal, and therefore have a long autocorrelated dependence.

Keywords: Fractal geometry; Hurst exponent; random walk (search for similar items in EconPapers)
JEL-codes: C18 E39 F31 (search for similar items in EconPapers)
Pages: 5 pages
Date: 2016-11
New Economics Papers: this item is included in nep-mac
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