Financial Time Series Modelling Using Fractal Interpolation Functions

Abstract

Time series of financial data are both frequent and important in everyday practice. Numerous applications are based, for example, on time series of asset prices or market indices. In this article, the application of fractal interpolation functions in modelling financial time series is examined. Our motivation stems from the fact that financial time series often present fluctuations or abrupt changes which the fractal interpolants can inherently model. The results indicate that the use of fractal interpolation in financial applications is promising.