Optimal Trading with A Multi-Fractal Spectrum Model

Hits: 10
Select Volume / Issue:
Year:
2018
Type of Publication:
Article
Keywords:
Brownian Motion, Holder Exponent, Multi-Fractal Spectrum, Optimal Trading, Parabolic Partial Differential Equations
Authors:
Joy Ijeoma Adindu-Dick
Journal:
IJISM
Volume:
6
Number:
2
Pages:
71-73
Month:
March
ISSN:
2347-9051
Abstract:
The asset price returns are multi-period (that is multi-fractal dimensional) market depending on market scenarios which are the measure points. This paper illustrates how optimal trading strategy can be computed using the multi-fractal spectrum model. We first derive our Multi-fractal Spectrum Model (MSM) version of the parabolic partial differential equations. The MSM is then used to derive the optimal trading strategy
Full text: IJISM_727_FINAL.pdf

About Us

Our Journals

IJECCE
International Journal of Electronics Communication and Computer Engineering
ISSN(Online): 2249 - 071X
ISSN (Print) : 2278 – 4209
www.ijecce.org
Submissions open
IJAIR
International Journal of Agriculture Innovations and Research (ISSN(Online) : 2319 – 1473)
www.ijair.org
Submissions open
IJISM
International Journal of Innovation in Science and Mathematics
ISSN : 2347 – 9051
www.ijism.org
Submissions open
IJEIR
International Journal of Engineering Innovations and Research
ISSN(Online) : 2277 – 5668
www.ijeir.org
Submissions are open.

IJAIM
International Journal of Artificial Intelligence and Mechatronics (ISSN(Online) : 2320 – 5121)
www.ijaim.org
Submissions open
IJRAS
International Journal of Research in Agricultural Sciences
www.ijras.org
Submissions open

Indexed By:

 width= width= width= width= width=