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

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F12%3A10124459" target="_blank" >RIV/00216208:11230/12:10124459 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/12:00381821

Result on the web

<a href="http://www.worldscientific.com/doi/abs/10.1142/S0219525912500658" target="_blank" >http://www.worldscientific.com/doi/abs/10.1142/S0219525912500658</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1142/S0219525912500658" target="_blank" >10.1142/S0219525912500658</a>

Result language

angličtina

Original language name

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

Original language description

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 thepaper, 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.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year

2012

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Advances in Complex Systems

ISSN

0219-5259

e-ISSN

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Volume of the periodical

15

Issue of the periodical within the volume

6

Country of publishing house

SG - SINGAPORE

Number of pages

13

Pages from-to

"1250065_1"-"1250065_13"

UT code for WoS article

000311050300004

EID of the result in the Scopus database

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