использование фрактальной размерности в техническом анализе рынка криптовалют1

Abstract

Considered one of the effective techniques of technical analysis cryptocurrency market on the basis of application of fractal theory, which allows to use the indicator of the fractal dimension to explain the state of the market using R/S analysis. Using R/S analysis is determined by the degree of autocorrelation of the time series, and the degree of resistance to change. The key point is the comparison of the exponent the current volatility of prices of financial assets with a Hurst exponent related to fractal dimension of the time series on which to judge the changes of the market behavior. The technique allows not only to evaluate the presence of trend component in the time series, but also to assess the sustainability and availability of long-term memory in the cryptocurrency market. The described techniques are an effective tool for building a strategy of behavior of market participants and forecasting of the assets price.