Results 11 to 20 of about 1,477 (158)
An agent-based model of financial market efficiency dynamics
Borsa Istanbul Review, 2022 We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics.
Ahmed El Oubani, Mostafa Lekhal
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A Critical Survey on Efficient Market Hypothesis (EMH), Adaptive Market Hypothesis (AMH) and Fractal Markets Hypothesis (FMH) Considering Their Implication on Stock Markets Behavior [PDF]
Ovidius University Annals: Economic Sciences Series, 2021 The fundamental objective of our research study is to provide a critical analysis on Efficient Market Hypothesis (EMH), Adaptive Market Hypothesis (AMH) and Fractal Markets Hypothesis (FMH) considering their impact on stock markets behavior.
Cristi Spulbar +2 more
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Cogent Economics & Finance, 2020 This study examines the adaptive market hypothesis (AMH) in relation to time-varying market efficiency by using three tests, namely Generalized Spectral (GS), Dominguez-Lobato (DL) and the automatic portmanteau test (AP) test on four-digital currencies ...
Ambreen Khursheed +3 more
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A Composite Index for Measuring Stock Market Inefficiency
Complexity, 2022 Market inefficiency is a latent concept, and it is difficult to be measured by means of a single indicator. In this paper, following both the adaptive market hypothesis (AMH) and the fractal market hypothesis (FMH), we develop a new time-varying measure ...
Raffaele Mattera +2 more
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Adaptive market hypothesis [PDF]
, 2019 Purpose: To investigate the implications of the Addaptive Market Hypothesis (AMH) on Turkish stock exchange market (Borsa Istanbul) indices as an emerging economy.
Ergün, Zeliha Can +2 more
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Testing the Adaptive Market Hypothesis and Time-Varying Efficiency in the Indian Equity Market [PDF]
Colombo Business JournalThe study examines the adaptive market hypothesis (AMH) as an evolutionary principle of the alternative efficient market hypothesis in the Indian stock market (Sensex and Nifty50) on the daily return from April 2014 to May 2020.
Nang Biak Sing, Rajkumar Giridhari Singh
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Financial Innovation, 2021 This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum, and Ripple), gold, and West Texas Intermediate (WTI) crude oil.
Majid Mirzaee Ghazani +1 more
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European exchange trading funds trading with locally weighted support vector regression [PDF]
, 2017 In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds.
de la Fuente, David +3 more
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Weryfikacja wybranych zastosowań hipotezy rynku adaptacyjnego na rynkach finansowych
Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie, 2017 Hipoteza rynku adaptacyjnego (adaptive market hypothesis – AMH), której autorem jest A. Lo, to jeden z najnowszych modeli opisujących działanie rynków finansowych.
Michał Kasolik
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SAGE Open, 2022 This study contributes to the growing debate on the relation between varying stock market conditions and the profitability of stock market anomalies. We investigate the effect of changed market conditions on time-varying contrarian profitability in order
Ali Fayyaz Munir +2 more
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