Home > Articles > Volume 35 (2017) > Chapter 11 (November 2017) > Stocks & Commodities V. 35:11 (18–21, 45): Estimating The Fractal Dimension Of Stock Prices by Mike B. Siroky, MD

Stocks & Commodities V. 35:11 (18–21, 45): Estimating The Fractal Dimension Of Stock Prices by Mike B. Siroky, MD

Stocks & Commodities V. 35:11 (18–21, 45): Estimating The Fractal Dimension Of Stock Prices by Mike B. Siroky, MD
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Estimating The Fractal Dimension Of Stock Prices by Mike B. Siroky, MD

Are markets completely random and unpredictable, or are they partially predictable? Here, we explore how the fractal dimension (or the related Hurst exponent) of a stock or index price series can help answer this question.

In A Random Walk Down Wall Street, Burton Malkiel maintains that stock prices are random and therefore cannot be predicted, especially not by technical analysis. On the other hand, MIT professor Andrew Lo maintains that at times, stock prices have a discernible trend and are partially predictable. Which hypothesis is correct? Can the fractal dimension (or related Hurst exponent) of a stock or index price series help answer this question ...




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