A Fractal View of Coffee Prices
| Author: | Bc. Johana Vaškovicová |
|---|---|
| Year: | 2013 - summer |
| Leaders: | prof. PhDr. Petr Teplý Ph.D. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 61 |
| Awards and prizes: | |
| Link: | |
| Abstract: | This thesis analyses the co ee time series from the viewpoint of Fractal Mar- ket Hypothesis. It presents a brief history of co ee, one of the most traded commodities, followed by the characterization of co ee markets. The thesis is motivated by the fractal geometry developed by B.B. Mandelbrot and presents an overview of the very complex eld of fractals, discussing their main proper- ties. Further on, we deal with the assumptions of the two alternative theories of the nancial markets - the Ecient Market Hypothesis and the Fractal Market Hypothesis. The main goal of the thesis is to estimate the Hurst exponent, which provides a measure of self-similarity and distinguishes between random, persistent and anti-persistent series. Three di erent estimation methods are described in detail and applied to arabica and robusta time series of returns and volatility - the rescaled range analysis, the modi ed rescaled range analysis and the detrended uctuation analysis. |
