GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications
| Principal investigator: | prof. PhDr. Ladislav Krištoufek Ph.D. |
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| 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: |
Barunik, J. & Kristoufek, L.: On Hurst exponent estimation under heavy-tailed distributions Kristoufek, L. & Skuhrovec, J.: Exponential and power laws in public procurement markets 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.: Multifractal Height Cross-Correlation Analysis Kristoufek, L.: Multifractal Height Cross-Correlation Analysis Kristoufek, L.: On Spurious Anti-Persistence in the US Stock Indices |
| 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 European Conference on Complex Systems (Econophysics Colloquium) |
