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Elliott wave principle and the corresponding fractional Brownian motion in stock markets: Evidence from Nikkei 225 index

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  • Ilalan, Deniz

Abstract

This paper examines one of the vital technical analysis indicators known as the Elliott wave principle. Since these waves have a fractal nature with patterns that are not exact, we first determine the dimension of them. Our second aim is to find a linkage between Elliott wave principle and fractional Brownian motion via comparing their Hausdorff dimensions. Thirdly, we consider the Nikkei 225 index during Japan asset price bubble, which is a perfect example of an Elliott wave.

Suggested Citation

  • Ilalan, Deniz, 2016. "Elliott wave principle and the corresponding fractional Brownian motion in stock markets: Evidence from Nikkei 225 index," Chaos, Solitons & Fractals, Elsevier, vol. 92(C), pages 137-141.
    • Handle: RePEc:eee:chsofr:v:92:y:2016:i:c:p:137-141
    DOI: 10.1016/j.chaos.2016.09.018
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    References listed on IDEAS

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    1. Shiller, Robert J & Kon-Ya, Fumiko & Tsutsui, Yoshiro, 1996. "Why Did the Nikkei Crash? Expanding the Scope of Expectations Data Collection," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 156-164, February.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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