FractalGeometry

WillMartino2012

Beforewestart,somecartoons
Ofthe8graphsonthe
right:

Twoarefinancialdata
(successivedifferences)

OneisaLevyStable

OneisBrownianmotion

OneisfractionalBrownian

Threearefractal'forgeries'

Beforewestart,somecartoons
Ofthe8graphsonthe
right:

Twoarefinancialdata
(successivedifferences)

OneisaLevyStable

OneisBrownianmotion

OneisfractionalBrownian

Threearefractal'forgeries'

FinancialForgeries

FinancialForgeries
AddRandomness(inapplicationofgeneratorsegments)

Bytheway,you'vejustsimulatedBrownianmotion

CoarseHolderExponent
(akaTheRoughnessExponent)
Whenweimposethecondition
thatthereisonlyoneHfora
givencartoon,thecartoon
generatedisconsidereda
unifractal

MakingFinancialForgeries
Tomakeconvincingfinancial
forgeriesthrowoutthe
unifractalcondition(oneH)

PricevsTradingTime(TT)isunifractal

ClockvsTradingtimeisMultifractal

PricevsClockistransformedviaTrading
Time

TTcompressesorextendsvolatility
inclocktime

Othermethodsofgeneration

IteratedFunctionSystems(IFS)

IFSwithmemory

DrivenIFS

Thiscanbedrivenviaexperimentaldata

DrivenIFSgeneratedfromaChromosome#7
Interestingvisualizationsinterpretations
stillunderactiveresearch
Wewillgofurtherintothistopiclater

QuantifyingFractals
Givenwhatwe'vesee,whatisthe
appropriatewaytomeasuresetsthat
areselfsimilar?
TheKochcurve'slengthdependson
howlongofayardstickyouuse

QuantifyingFractals
Well,iflengthdoesn'tworkwhat
aboutarea?
Predictably,thisalsodoesn'twork

IthinkthisiswhattheBuddhistswouldcallaquestionwronglyput.
JohnGreene

FlavorsofDimensions
Fractalssimplyarenotnormalgeometricshapes.Giventhey're
infiniterecursiveselfsimilarity,weneedanewapproach
BoxCountingDimensionaset
coveringapproach

FlavorsofDimensions
TheSimilarityDimension

Intuition:focusoncountingthe
numberofcopies(N)scaledbya
contractionfactor(r)aselfsimilar
shapeneedstoconstructitself

TheMoranEquation

Allowsustoapplythedimsimilarity
tosetsofnonuniformcontraction
factorconstruction

HausdorffMeasure

HausdorffDimension

Thetforwhichthemeasuremakesitstransitionbetween
zeroandinfinityisdefinedastheHausdorffdimension
Intoolowadimension,theHausdorffmeasureiszeroandin
toohighofoneitisinfinite

QuickOverviewof(Driven)IFS
IFSistherepeatedapplicationoftransformsaccordingtoa
specifiedregime(eitherorderedorprobabilistic)
Inthisexample,thetransformswewilluseare:

IntuitionRecap

Moranequationrelatestheselfsimilarityofasettoits
dimension
CoarseHolderexponentmeasurestheroughnessofaset
TheHausdorffisthe'goldstandard'ofgeneralized
dimensionalmeasuresbutitcanbeveryhardtodirectly
compute

Nowthatwehavethetoolsneeded,wecanputeverything
togethertodevelopthemaintoolusedinmyresearch

Moran,HolderandHausdorff

Moran,HolderandHausdorff

Wherea(q)isthelocalHolderexponentandf(a)isthe
HausdorffdimensionofthesetforagivenHolderexponent

f(a)Curves
ViaIFSwithMemory,theMoran
equationfurthergeneralizesto:
Whererhoisthespectralradiusof
thetransitionprobabilitymatrixofA
Thisenablesustoplotthef(a)by
binningthedataandextractingthe
transitionmatrix

Binning

Speculation
Whatelse?Weendwithaspeculation.RecallNoetherstheoremthatifthe
Lagrangianofaphysicalsystemexhibitsasymmetry,thenaconservationlawis
associatedwiththissymmetry.Familiarexamplesinclude:

spacetranslationsymmetryconservationoflinearmomentum

spacerotationsymmetryconservationofanguarmomentum

timetranslationsymmetryconservationofenergy

gaugesymmetryinelectromagnetismconservationofcharge

Iffractality,orsomeclassoffractality,ismediatedbyaLagrangian,thenthereisa
conservationlaw,asyetunknown,correspondingtoscalingsymmetry.
Prof.MichaelFrame

Citations
MuchofthisderivesitselffrommytutelageunderProf.
MichaelFrame,hisonlinetextbookonthesubjectandthe
followingpublications: