For a first article, as an introduction to Fractal Financiel Markets, see:
http://www.economymodels.com/factalmarkets.aspAre financial markets fractals? Financial markets are often modeled with a series of small normally distributed (Gaussian) changes. Such a model has great theoretical appeal, and is the core of other models, e.g. for measuring risk and pricing options. There is only one problem capital markets clearly are not Gaussian random walks. There are a large number of arguments both against the Gaussian assumption and against the random walk assumption. Some of those argument can be explained away, but others cant. One of the most compelling arguments against a Gaussian random walk is that markets appear to have fractal structure.
