Optimal Trading with A Multi-Fractal Spectrum Model

Abstract

The asset price returns are multi-period (that is multi-fractal dimensional) market depending on market scenarios which are the measure points. This paper illustrates how optimal trading strategy can be computed using the multi-fractal spectrum model. We first derive our Multi-fractal Spectrum Model (MSM) version of the parabolic partial differential equations. The MSM is then used to derive the optimal trading strategy.

Authors and Affiliations

Joy Ijeoma Adindu-Dick

Keywords

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  • EP ID EP498465
  • DOI -
  • Views 69
  • Downloads 0

How To Cite

Joy Ijeoma Adindu-Dick (2018). Optimal Trading with A Multi-Fractal Spectrum Model. International Journal of Innovation in Science and Mathematics, 6(2), 71-73. https://europub.co.uk/articles/-A-498465