Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F13%3A10173753" target="_blank" >RIV/00216208:11230/13:10173753 - isvavai.cz</a>

Alternative codes found

RIV/67985556:_____/13:00397560

Result on the web

<a href="http://dx.doi.org/10.1038/srep02857" target="_blank" >http://dx.doi.org/10.1038/srep02857</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1038/srep02857" target="_blank" >10.1038/srep02857</a>

Result language

angličtina

Original language name

Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Original language description

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 isin hand with the assertions of the fractal markets hypothesis.

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

S - Specificky vyzkum na vysokych skolach

Publication year

2013

Confidentiality

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

Name of the periodical

Scientific Reports

ISSN

2045-2322

e-ISSN

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Volume of the periodical

3

Issue of the periodical within the volume

October

Country of publishing house

GB - UNITED KINGDOM

Number of pages

7

Pages from-to

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UT code for WoS article

000325216000004

EID of the result in the Scopus database

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