Detail publikace

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

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2012
Číslo: 0
ISSN / ISBN:
Publikováno v: Advances in Complex Systems 15(6), 1250065 arXiv PDF
Místo vydání:
Klíčová slova: Fractal markets hypothesis; scaling; fractality; investment horizons; efficient markets hypothesis
JEL kódy:
Citace:
Granty: 402/09/0965: Nové přístupy pro monitorování a predikci na kapitálových trzích GAČR P402/11/0948 Vývoj analytického rámce pro energetickou bezpečnost: Ekonometrie časových řad, teorie her, meta-analýza a teorie regulace GAUK 5183/2010 (118310) Fraktalita a multifraktalita finančních trhů: metody a aplikace
Abstrakt: We investigate whether the fractal markets hypothesis and its focus on liquidity and investment horizons give reasonable predictions about the dynamics of the financial markets during turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, the fractal markets hypothesis considers the financial markets as complex systems consisting of many heterogenous agents, which are distinguishable mainly with respect to their investment horizon. In the paper, sev- eral novel measures of trading activity at different investment horizons are introduced through the scaling of variance of the underlying processes. On the three most liquid US indices - DJI, NASDAQ and S&P500 - we show that the predictions of the fractal markets hypothesis actually fit the observed behavior adequately.
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