Springer Fractal Dimension for Fractal Structures: With Applications to Finance: 19 (SEMA SIMAI Springer Series, 19)

Product Description This book provides a generalised approach to fractal dimension theory from the standpoint of asymmetric topology by employing the concept of a fractal structure. The fractal dimension is the main invariant of a fractal set, and provides useful information regarding the irregularities it presents when examined at a suitable level of detail. New theoretical models for calculating the fractal dimension of any subset with respect to a fractal structure are posed to generalise both the Hausdorff and box-counting dimensions. Some specific results for self-similar sets are also proved. Unlike classical fractal dimensions, these new models can be used with empirical applications of fractal dimension including non-Euclidean contexts. In addition, the book applies these fractal dimensions to explore long-memory in financial markets. In particular, novel results linking both fractal dimension and the Hurst exponent are provided. As such, the book provides a number of algorithms for properly calculating the self-similarity exponent of a wide range of processes, including (fractional) Brownian motion and Lévy stable processes. The algorithms also make it possible to analyse long-memory in real stocks and international indexes. This book is addressed to those researchers interested in fractal geometry, self-similarity patterns, and computational applications involving fractal dimension and Hurst exponent. From the Back Cover This book provides a generalised approach to fractal dimension theory from the standpoint of asymmetric topology by employing the concept of a fractal structure. The fractal dimension is the main invariant of a fractal set, and provides useful information regarding the irregularities it presents when examined at a suitable level of detail. New theoretical models for calculating the fractal dimension of any subset with respect to a fractal structure are posed to generalise both the Hausdorff and box-counting dimensions. Some specific results for self-similar sets are also proved. Unlike classical fractal dimensions, these new models can be used with empirical applications of fractal dimension including non-Euclidean contexts. In addition, the book applies these fractal dimensions to explore long-memory in financial markets. In particular, novel results linking both fractal dimension and the Hurst exponent are provided. As such, the book provides a number of algorithms for properly calculating the self-similarity exponent of a wide range of processes, including (fractional) Brownian motion and Lévy stable processes. The algorithms also make it possible to analyse long-memory in real stocks and international indexes. This book is addressed to those researchers interested in fractal geometry, self-similarity patterns, and computational applications involving fractal dimension and Hurst exponent. About the Author Manuel Fernández-Martínez holds an international PhD in Mathematics from UCLA. His research interests include fractal structures, fractal dimension, self-similar sets, computational applications of fractal dimension, and self-similar processes and their applications to finance. Miguel Ángel Sánchez-Granero is an Associate Professor at the Department of Mathematics, University of Almería, Spain. He is the author of a number of publications in international journals on asymmetric topology, self-similarity, fractal structures, and fractal dimension with application to financial series. Juan E. Trinidad Segovia, PhD, is a Full Professor of Finances at the Department of Economics and Business, University of Almería, Spain. His research interests include financial modelling, portfolio selection, CAPM and, most recently, applications of Statistical Mechanics to financial markets. He has published over 20 papers in peer-reviewed journals. Juan Luis García Guirao is a Full Professor of Applied Mathematics at the Technical University of Cartagena, Spain. In 2011, at th