Elliott wave principle and the corresponding fractional Brownian motion in stock markets: Evidence from Nikkei 225 index
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Date
2016
Authors
İlalan, Deniz
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Pergamon-Elsevier Science LTD
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Abstract
This paper examines one of the vital technical analysis indicators known as the Elliott wave principle. Since these waves have a fractal nature with patterns that are not exact, we first determine the dimension of them. Our second aim is to find a linkage between Elliott wave principle and fractional Brownian motion via comparing their Hausdorff dimensions. Thirdly, we consider the Nikkei 225 index during Japan asset price bubble, which is a perfect example of an Elliott wave. (C) 2016 Elsevier Ltd. All rights reserved.
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Elliott Wave, Hausdorff Dimension, Fractional Brownian Motion
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Citation
Ilalan, Deniz, "Elliott wave principle and the corresponding fractional Brownian motion in stock markets: Evidence from Nikkei 225 index", Chaos Solitons & Fractals, Vol. 92, pp. 137-141, (2016).
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Chaos Solitons & Fractals
Volume
92
Issue
Start Page
137
End Page
141