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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

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Start Page

137

End Page

141