Random Fractals and the Stock Market

Surrogates of the Stock Market - Trading Time, Step 3

Using the price and trading time increments, we construct the price vs trading time generator.

Note the price vs trading time generator is unifractal, because

|dY₁| = (|dY₁|^D)^1/D = dT₁^1/D,

|dY₂| = (|dY₂|^D)^1/D = dT₂^1/D, and

|dY₃| = (|dY₃|^D)^1/D = dT₃^1/D

That is, the same exponent relates |dY_i| and dT_i for i = 1, 2, and 3.

Return to General Principle of Trading Time.