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

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/67985556:_____/12:00381821

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2012

Kód důvěrnosti údajů

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

Název periodika

Advances in Complex Systems

ISSN

0219-5259

e-ISSN

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Svazek periodika

15

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

SG - Singapurská republika

Počet stran výsledku

13

Strana od-do

"1250065_1"-"1250065_13"

Kód UT WoS článku

000311050300004

EID výsledku v databázi Scopus

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