Fractal Analysis of Financial Time Series Using Fractal Dimension and Pointwise Hölder Exponents

This paper presents a fractal analysis application to the verification of assumptions of Fractal Market Hypothesis and the presence of fractal properties in financial time series. In this research, the box-counting dimension and pointwise Hölder exponents are used. Achieved results lead to interesting observations related to nonrandomness of price series and occurrence of relationships binding fractal properties and variability measures with the presence of trends and influence of the economic situation on financial instruments’ prices.