Waiting for the big Kahuna Message Board

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Strategies & Market Trends : Waiting for the big Kahuna

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To: Real Man who wrote (56755)	2/17/2002 8:07:19 PM
From: Moominoid	Read Replies (2) of 94695

Were you the guy who told me about the Hurst exponent? If so very useful clue. I looked it up in Mandelbrot's Fractional Geometry of Nature and now I can relate it to concepts I was familiar with like fractal dimension and order of integration. It turns out that stock prices seem to be fractionally integrated (1 < d < 2). This explains a lot.... In fact the order of integration d = H*2 it seems and the fractal dimension D is given by Mandelbrot as D = 1/H. Very cool! It is fractional integration that generates cycle like patterns and self-similarity in stock prices and means they are to a degree predictable. Though Mandelbrot doesn't seem to want to admit to that. But I need to get his recent book on finance. David

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