Grant detail

GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications

Principal investigator: prof. PhDr. Ladislav Krištoufek Ph.D.
Collaborators: doc. PhDr. Jozef Baruník Ph.D.
Mgr. Lukáš Vácha Ph.D.
Description: Financial markets have been described as random systems, which behave according to the random walk and are thus unpredictable, for many years. Especially in the last 15 years, there have been results published and theories stated, which describe the markets as complex nonlinear systems. Such systems can show patterns and can be predictable. One of such theories is (multi)fractal theory of the financial markets which describes the market as a place where many heterogeneous agents interact and are not necessarily behaving rationally, but are “herding” and are thus following trends and sentiments on the markets. Our research project focuses on the fractal description of financial markets. In the project, we will focus on four main areas. Firstly, we will test statistical properties of estimates of the characteristic exponent of fractal, self-similar and long-term memory processes – Hurst exponent H. Secondly, we will research relationship between multi-fractality and crashes on the financial markets and thus predictability of such events. Thirdly, we will test whether heterogeneous agents models (HAM) show multi-fractality, which has been shown to be present in the financial markets. The last area deals with testing whether persistence, which is connected with fractality, is statistically significant for market behavior prediction.
Participation:
Work in grant:
Web link:
Finance: Financed by the Grant Agency of the Charles University (GAUK)
End date: 2012
Publications:

"Efficiency, persistence and predictability of Central European Stock Markets" In: Banking and Financial Markets in Central and Eastern Europe after 20 years of transition

Barunik, J. & Kristoufek, L.: On Hurst exponent estimation under heavy-tailed distributions

Ivanková, K. & Krištoufek, L. & Vošvrda, M.: Evaluating the Efficient Market Hypothesis by means of isoquantile surfaces and the Hurst exponent

Kristoufek, L. & Janda, K. & Zilberman, D.: Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective

Kristoufek, L. & Janda, K. & Zilberman, D.: Regime-dependent topological properties of biofuels networks

Kristoufek, L. & Skuhrovec, J.: Exponential and power laws in public procurement markets

Kristoufek, L. & Vosvrda, M.: Capital markets efficiency: Fractal dimension, Hurst exponent and entropy

Kristoufek, L.: Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

Kristoufek, L.: How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

Kristoufek, L.: Local Scaling Properties and Market Turning Points at Prague Stock Exchange

Kristoufek, L.: Long-range dependence in returns and volatility of Central European Stock Indices

Kristoufek, L.: Long-term memory and its evolution in returns of stock index PX between 1997 and 2009

Kristoufek, L.: Multifractal Height Cross-Correlation Analysis

Kristoufek, L.: Multifractal Height Cross-Correlation Analysis

Kristoufek, L.: Multifractal height cross-correlation analysis: A new method for analyzing long-range cross-correlations

Kristoufek, L.: On Spurious Anti-Persistence in the US Stock Indices

Kristoufek, L.: Rescaled range analysis and detrended fluctuation analysis: finite sample properties and confidence intervals

Conferences:

13th Annual Doctoral Conference of FFU, VSE, Prague

17th Annual Workshop on Economic Heterogeneous Interacting Agents (WEHIA 2012)

30th International conference on Mathematical Methods in Economics

6th International conference on Computational and Financial Econometrics (CFE 2012)

8th Econophysics Colloquium 2012

8th Euroasia Business and Economics Society Conference

8th International Conference. Computing in Economics and Finance (CEF 2012)

Computational and Financial Econometrics (CFE 2011)

Computations in Economics and Finance (CEF 2010)

Computations in Economics and Finance (CEF 2011)

Econophysics and Sociophysics Workshop as a part of International Conference on Statistical Physics

Econophysics Colloquium 2010

European Conference on Complex Systems (Econophysics Colloquium)

International Conference on Econophysics

WEHIA/ESHIA 2010

Partners

Deloitte

Sponsors

CRIF
McKinsey
Patria Finance