Nowadays, the most popular representatives of the fractal time functions are the financial time series. The fractal structure of these series is well-known and aсcording to Mandelbrot there is a “rewording of the famous market saying that the movement of stocks and currencies is independent of the time scale and the price.

An observer can’t tell if the information refers to the weekly, daily or hourly changes just by looking at the appearance of the chart».

Usually, to determine the fractal dimension the Hurst’s exponent is calculated [2]. However, for the reliable calculation of this exponent a huge amount of data is necesary (~ 10^3) and that is too much comparing to the duration of the trends of trading.

The authors [1] interpose the fractal characteristics – the variation index (m) that is closely related to the common fractal dimension. In distinct from the

Continue reading