cy After reading many back issues of "The Journal of Finance" at the San Francisco Federal Reserve Bank over the years.
examples: (1)The Time Variance Relationships:Evidence on autocorrelations in common stock returns. (2)The Stable Paretian Distribution, Subordinated Stochastic Processes, and Asymptotic Lognormaility: An Empirical Investigation. (3)Some Empirical Evidence of Bias in random, Market-Value-Weighted Portfolios (4)Evidence of Predictable Behavior of security returns. (5)Does the Stock Market Overreact? (6)Turn-of-month Evaluations of Liquid Profits and Stock returns: A Common explanation for the Monthly and January Effects (7)etc,etc
I can not recall ever reading about FRACTALS vs stock markets