Random Fractals and the Stock Market

Unifractal Cartoons - Scaling

To synthesize Brownian motion we took each
|dYi| = (dti)1/2,
the familiar square root scaling of Brownian motion.
We can generalize this some, requiring
|dYi| = (dti)H
with the same exponent H for each i.
Cartoons whose generator satisfies this relation are called unifractal.
This H is called the coarse Holder exponent, and is a measure of the roughness of a graph.
Computing H is straightforward: take the Log of both sides of the equation above and solve for H.
H = Log|dYi|/Log(dti)
Applied to experimental data, materials scientists compute the same ratio and call it the roughness exponent.

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