IIARD International Institute of Academic Research and Development

INTERNATIONAL JOURNAL OF APPLIED SCIENCES AND MATHEMATICAL THEORY (IJASMT )

E- ISSN 2489-009X
P- ISSN 2695-1908
VOL. 10 NO. 1 2024
DOI: https://doi.org/10.56201/ijasmt.v10.no1.2024.pg1.7

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Optimal Multi-Period Spectrum Model for the Measurement of Random Behaviour of Assets Returns

Obiageri E. Ogwo and Aharanwa Boniface Chinedu

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Abstract

Options have become extremely popular and the reasons behind that can be summarized in two points; they are attractive tools both for speculation and hedging. If their price can be determined: therefore their trading can be done with a certain confidence.The vendor of the option have two mains questions. How much should the buyer of the option pay in other words, how to access the price at the time t = 0 and the richness available at time T ?becomes the pricing problem. Multi fractals offer a well-defined set of answers to this question because it has the capability of generating various degree of long term memory in different powers of return. A model cannot capture all aspects of reality but rather a simple version that focuses on some particular point of interest. We present a dynamic multi-period spectrum model of variation of the capital market price aimed at determining the growth rate of an asset, using a continuous rate of return,?? = ?????; and the optimal trading strategy.

keywords:

Dynamic Multi-period, Spectrum Model, Capital Market, Trading Strategy and Asset Return

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References:

Erin Pearse.(2000), An introduction to dimension theory and fractal geometry: fractal Dimensions
and Measures.(google).

Sun, H. Chen, Z. Wu and Y. Yuan,(2001) Multifractal analysis of Hang Seng index in Hong Kong
stock market, Physica A. 291 ? 553–562.

Taylor, S.J., (1967). On the connection between Hausdorff measure and generalized capacity.
Provo Cambridge Philos. Soc.,57 ?524-531.

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