• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.63-89
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• 2007

This study aims at empirically verifying whether long memory properties exist in returns and volatility of the financial time series and then, empirically observing influential factors of long-memory properties. The presence of long memory properties in the financial time series is examined with the Hurst exponent. The Hurst exponent is measured by DFA(detrended fluctuation analysis). The empirical results are summarized as follows. First, the presence of significant long memory properties is not identified in return time series. But, in volatility time series, as the Hurst exponent has the high value on average, a strong presence of long memory properties is observed. Then, according to the results empirically confirming influential factors of long memory properties, as the Hurst exponent measured with volatility of residual returns filtered by GARCH(1, 1) model reflecting properties of volatility clustering has the level of $H{\approx}0.5$ on average, long memory properties presented in the data before filtering are no longer observed. That is, we positively find out that the observed long memory properties are considerably due to volatility clustering effect.

• Journal of the Institute of Electronics Engineers of Korea TC
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• v.39 no.12
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• pp.566-574
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• 2002

In this paper, the scattered field from a perfectly conducting fractal surface by the Monte-Carlo moment method was computed. An one-dimensional fractal surface was generated by using the fractional Brownian motion model. Back scattering coefficients are calculated with different values of the spectral parameter(S$\_$0/), and fractal dimension(D) which determine characteristics of the fractal surface. The number of surface realization for the computed field, the point number, and the width of surface realization are set to be 80, 2048, and 64L, respectively. In order to verify the computed results these results are compared with those of small perturbation methods, which show good agreement between them.

• Journal of Navigation and Port Research
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• v.35 no.1
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• pp.51-56
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• 2011

In this paper, we presents an algorithm which restores lost data or increases resolution of a DTM(Digital terrain model) using fractal theory. Terrain information(fractal dimension and standard deviation) around the patch to be restored is extracted and then with this information and original data, the elevations of cells are interpolated using the random midpoint displacement method. The results of the proposed algorithm are compared with those of the bilinear and bicubic methods on a fractal terrain map.

• The Korean Journal of Financial Management
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• v.20 no.2
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• pp.95-126
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• 2003

This paper introduces multifractal processes and presents the empirical investigation of the multifractal asset pricing. The multifractal stock price process contains long-tails which focus on Levy-Stable distributions. The process also contains long-dependence, which is the characteristic feature of fractional Brownian motion. Multifractality introduces a new source of heterogeneity through time-varying local reqularity in the price path. This paper investigates multifractality in stock prices. After finding evidence of multifractal scaling, the multifractal spectrum is estimated via the Legendre transform. The distinguishing feature of the multifractal process is multiscaling of the return distribution's moments under time-resealing. More intensive study is required of estimation techniques and inference procedures.