Random Fractals and the Stock Market

Unifractal Cartoons - Example 1

Suppose we want to build a unifractal cartoon with H = 0.25 and dt1 = 0.3.
The scaling condition implies dt2 is determined by the equation
0.30.25 - (dt2)0.25 + (1 - 0.3 - dt2)0.25 = 1.
(Recall dt3 is completely specified by dt1 and dt2.)
Mathematica can find dt2 using the command
FindRoot[0.3^0.25 + x^0.25 + (1 - 0.3 - x)^0.25 == 1,{x,2}]
This gives
dt2 = x = 0.135608
Then from dt1 + dt2 + dt3 = 1, we obtain
dt3 = 1 - 0.3 - dt2 = 0.564392.
We calculate the dYi from these by the unifractal scaling relation |dYi| = (dti)H, and the up, down, up ordering of the generator segments:
dY1 = 0.30.25 = 0.740083
dY2 = -(0.1356080.25) = -0.606836, and
dY3 = (0.564392)0.25 = 0.86675.
The turning points are
(a, b) = (dt1, dY1) = (0.3, 0.740083), and
(c, d) = (dt1 + dt2, dY1 + dY2) = (0.435608, 0.133247).
The generator is on the left; the 8th iterate, sampled at 3128 points, is on the right.

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