Driven IFS and Financial Cartoons

Purpose To use driven IFS to detect correlations in financial data and self-affine cartoons of that data.

Materials Data sets {x₁, x₂, ... , x_n} in sequential order (that is, the order of the entries in the list is the same as the order in which they occur) of some financial data and of some cartoon data, and some version of driven IFS software.

Background

Procedure

Sample

Conclusion Even simple self-affine cartoons can produce driven IFS closely resembling real data. However, the closeness of the match certainly appears to depend on the random number sequence, as well as on the placement of the bin boundaries.

Exercises