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  • Search: subject:"Power Spectrum Exponent"
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Subject
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Fractal Attractors 1 Fractional Brownian Motion 1 Hurst Exponent 1 Market Collapse 1 Maximum Hausdorff Dimension of Markets and Affine Profiles 1 Power Spectrum Exponent 1 Value at Risk 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Des Rosiers, Francois 1 Dominique, C-Rene 1 Rivera-Solis, Luis Eduardo 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
Showing 1 - 1 of 1
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Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index
Dominique, C-Rene; Rivera-Solis, Luis Eduardo; Des … - Volkswirtschaftliche Fakultät, … - 2010
In extant financial market models, including the Black-Scholes’ contruct, the dramatic events of October 1987 and August 2007 are totally unexpected, because these models are based on the assumptions of ‘independent price fluctuations’ and the existence of some ‘fixed-point...
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