Fractality of profit landscapes and validation of time series models for stock prices

We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and the sell (buy) decision is made when the log return is larger (smaller) than $p$ ($-q$). We discretize the unit square $(p, q) \in [0, 1] \times [0, 1]$ into the $N \times N$ square grid and the profit $\Pi (p, q)$ is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: The number M of local maxima follows the power-law form $M \sim N^{a}$, but the scaling exponent $a$ is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent $a \approx 1.6$ observed for real stock markets. We suggest that the fractality of profit landscape characterized by $a \approx 1.6$ can be a useful measure to validate time series model for stock prices.Comment: 10pages, 6figure

Comment on "Phase transition in a one-dimensional Ising ferromagnet at zero temperature using Glauber dynamics with a synchronous updating mode"

Sznajd-Weron in [Phys. Rev. E {\bf 82}, 031120 (2010)] suggested that the one-dimensional Ising model subject to the zero temperature synchronous Glauber dynamics exhibits a discontinuous phase transition. We show here instead that the phase transition is of a continuous nature and identify critical exponents: $\beta \approx 0$, $\nu \approx 1$, and $z \approx 2$, via a systematic finite-size scaling analysis.Comment: 2 pages 2 figure

Restructuring of the chaebols and financial sector in Korea

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The role of the government in promoting industrialization and human capital accumulation in Korea

노트 : - This PDF is a selection from an out-of-print volume from the National Bureau of Economic Research - Volume Title: Growth theories in light of the East Asian experienc