Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Fractality of profit landscapes and validation of time series models for
  stock prices   We apply a simple trading strategy for various time series of real and
artificial stock prices to understand the origin of fractality observed in the
resulting profit landscapes. The strategy contains only two parameters $p$ and
$q$, and the sell (buy) decision is made when the log return is larger
(smaller) than $p$ ($-q$). We discretize the unit square $(p, q) \in [0, 1]
\times [0, 1]$ into the $N \times N$ square grid and the profit $\Pi (p, q)$ is
calculated at the center of each cell. We confirm the previous finding that
local maxima in profit landscapes are scattered in a fractal-like fashion: The
number M of local maxima follows the power-law form $M \sim N^{a}$, but the
scaling exponent $a$ is found to differ for different time series. From
comparisons of real and artificial stock prices, we find that the fat-tailed
return distribution is closely related to the exponent $a \approx 1.6$ observed
for real stock markets. We suggest that the fractality of profit landscape
characterized by $a \approx 1.6$ can be a useful measure to validate time
series model for stock prices.

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The categories of this paper are: atom-ph
11
The categories of this paper are: hep-lat
21
The categories of this paper are: adap-org
31
The categories of this paper are: ao-sci
3
The categories of this paper are: physics
18
The categories of this paper are: econ
4
The categories of this paper are: cond-mat
22
The categories of this paper are: chao-dyn
29
The categories of this paper are: funct-an
10
The categories of this paper are: q-bio
25
The categories of this paper are: patt-sol
28
The categories of this paper are: alg-geom
20
The categories of this paper are: acc-phys
0
The categories of this paper are: hep-ph
15
The categories of this paper are: nucl-ex
8
The categories of this paper are: hep-ex