Detail publikace

Kristoufek, L.: Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Autor: prof. PhDr. Ladislav Krištoufek Ph.D.,
Typ: Články v impaktovaných časopisech
Rok: 2013
Číslo: 0
ISSN / ISBN:
Publikováno v: Scientific Reports 3:2857 PDF
Místo vydání:
Klíčová slova: Global financial crisis, wavelets, Fractal markets hypothesis
JEL kódy:
Citace: Kristoufek, L. Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence. Sci. Rep. 3, 2857
Abstrakt: We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power spectra which give the crucial information about the variance distribution across scales and its evolution in time. We show that the most turbulent times of the Global Financial Crisis can be very well characterized by the dominance of short investment horizons which is in hand with the assertions of the fractal markets hypothesis.
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