Introducing fractal dimension algorithms to calculate the Hurst exponent of financial time series

In this paper, three new algorithms are introduced in order to explore long memory in financial time series. They are based on a new concept of fractal dimension of a curve. A mathematical support is provided for each algorithm and its accuracy is tested for different length time series by Monte Carlo simulations. In particular, in the case of short length series, the introduced algorithms perform much better than the classical methods. Finally, an empirical application for some stock market indexes as well as some individual stocks is presented

Diffusive and Arrestedlike Dynamics in Currency Exchange Markets

This work studies the symmetry between colloidal dynamics and the dynamics of the Euro–U.S. dollar currency exchange market (EURUSD). We consider the EURUSD price in the time range between 2001 and 2015, where we find significant qualitative symmetry between fluctuation distributions from this market and the ones belonging to colloidal particles in supercooled or arrested states. In particular, we find that models used for arrested physical systems are suitable for describing the EURUSD fluctuation distributions. Whereas the corresponding mean-squared price displacement (MSPD) to the EURUSD is diffusive for all years, when focusing in selected time frames within a day, we find a two-step MSPD when the New York Stock Exchange market closes, comparable to the dynamics in supercooled systems. This is corroborated by looking at the price correlation functions and non-Gaussian parameters and can be described by the theoretical model. We discuss the origin and implications of this analogy

Un modelo para valorar una cartera eficiente en agricultura ecológica

This paper proposes a model that helps organic growers choose crops that better adapt to their risk profile and expectations of profit. One of the main advantages of the model is its treatment of uncertainty in this market, in which historical information regarding prices and production is unavailable. The economic approach of this work is inspired in the classic theory of portfolio selection, which assumes that profitabilities follow a beta distribution. Finally, an example of the models use is reported, providing a viability analysis of these cultivation systems from a new point of view.El objetivo de este artículo es presentar un modelo aplicable a la agricultura ecológica que permita al agricultor elegir aquellos planes que mejor se adapten a sus expectativas personales de rentabilidad y riesgo. Uno de los logros principales del modelo es el tratamiento especial de la incertidumbre en un mercado en el que no se dispone de información histórica sobre precios y producción. El planteamiento económico de este trabajo está inspirado en la teoría clásica de selección de carteras y supone que los rendimientos siguen una distribución de probabilidad tipo beta. Finalmente, se incluye una aplicación empírica del modelo con un análisis que trata de enfocar el problema de la viabilidad de este tipo de sistemas de cultivo desde un nuevo punto de vista