Examples of previous fractal market analysis
| Authors | Underling framework | Methods and measurement | Units of analysis and coverage | Markets/indexes/currencies |
|---|---|---|---|---|
| Peters (1994) | Chaos theory FMH | Hurst exponent R/S analysis ARFIMA model | Several [1988-1990] | Several |
| Panas (2001) | Fractal dimension | Hurst exponent ARFIMA model | Daily stock prices [1993-1998] | Athens stock exchange |
| Mynhardt et al. (2014) | FMH | Dynamic hurst exponent R/S analysis | Daily stock index and exchange rate fluctuations [1990-2010] | National stock markets Foreign exchange markets |
| Ikeda (2017) | Fractal geometry FMH | Hurst exponent | Weekly stock prices [Not specified] | World stock markets |
| Flores-Muñoz et al. (2019b) | Chaos theory Fractal geometry | ARFIMA model | Weekly stock prices and online search results [2012-2017] | STOXX® Global 3,000 travel and leisure |
| Ftiti et al. (2019) | Multifractal approach | Detrending moving average cross-correlation analysis Multifractal detrending moving average cross-correlation analysis | Intraday trading volume and prices (futures contracts) [2007-2010] | New York mercantile exchange (Oil and gas) |
| Arbi Madani and Ftiti (2020) | Multifractal approach | q-detrending moving average cross-correlation analysis Mixed-correlated ARFIMA | Intraday gold and oil prices and exchange rates [2017-2019] | EUR, GBP, CHF JPY, CAD, AUD |
| Authors | Underling framework | Methods and measurement | Units of analysis and coverage | Markets/indexes/currencies |
|---|---|---|---|---|
| Chaos theory | Hurst exponent | Several | Several | |
| Fractal dimension | Hurst exponent | Daily stock prices | Athens stock exchange | |
| FMH | Dynamic hurst exponent | Daily stock index and | National stock markets | |
| Fractal geometry | Hurst exponent | Weekly stock prices | World stock markets | |
| Chaos theory | ARFIMA model | Weekly stock prices and online search results | STOXX® Global 3,000 travel and leisure | |
| Multifractal approach | Detrending moving average cross-correlation analysis | Intraday trading volume and prices (futures contracts) | New York mercantile exchange | |
| Multifractal approach | Intraday gold and oil prices and exchange rates | EUR, GBP, CHF JPY, CAD, AUD |