Abstract
This paper examines technology equity price series using five self-affine fractal analysis techniques for estimating the Hurst exponent, Mandelbrot–Lévy characteristic exponent, and fractal dimension. Techniques employed are rescaled-range analysis, power-spectral density analysis, roughness-length analysis, the variogram or structure function method, and wavelet analysis. Evidence against efficient valuation supports the multifractal model of asset returns (MMAR) and disconfirms the weak form of the efficient market hypothesis (EMH). Strong evidence is presented for antipersistence of many technology equities, suggesting markets do not price all technology securities efficiently, or equally efficiently.
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