SAGE Open, 2022 The fractal market hypothesis (FMH) is one of the frontier theories of emerging finance and nonlinear science. The relationship between the FMH and the efficient market hypothesis (EMH) is easy to be confused, and its guiding role in investment practice ...
Guang Liu +3 more
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A Review of the Fractal Market Hypothesis for Trading and Market Price Prediction [PDF]
Mathematics, 2021 This paper provides a review of the Fractal Market Hypothesis (FMH) focusing on financial times series analysis. In order to put the FMH into a broader perspective, the Random Walk and Efficient Market Hypotheses are considered together with the basic ...
Jonathan Blackledge, Marc Lamphiere
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Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
Organizations and Markets in Emerging Economies, 2022 This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
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Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion [PDF]
Mathematics, 2021 In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best ...
Vasile Brătian +4 more
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Carbon Futures Trading and Short-Term Price Prediction: An Analysis Using the Fractal Market Hypothesis and Evolutionary Computing [PDF]
Mathematics, 2021 This paper presents trend prediction results based on backtesting of the European Union Emissions Trading Scheme futures market. This is based on the Intercontinental Exchange from 2005 to 2019.
Marc Lamphiere +2 more
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Optimisation of Cryptocurrency Trading Using the Fractal Market Hypothesis with Symbolic Regression
CommoditiesCryptocurrencies such as Bitcoin can be classified as commodities under the Commodity Exchange Act (CEA), giving the Commodity Futures Trading Commission (CFTC) jurisdiction over those cryptocurrencies deemed commodities, particularly in the context of ...
Jonathan Blackledge, Anton Blackledge
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Econophysics and Fractional Calculus: Einstein’s Evolution Equation, the Fractal Market Hypothesis, Trend Analysis and Future Price Prediction [PDF]
Mathematics, 2019 This paper examines a range of results that can be derived from Einstein’s evolution equation focusing on the effect of introducing a Lévy distribution into the evolution equation.
Jonathan Blackledge +4 more
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Fractal and FractionalSince the early 1970s, the study of Black–Scholes (BS) partial differential equations (PDEs) under the Efficient Market Hypothesis (EMH) has been a subject of active research in financial engineering.
Samuel M. Nuugulu +2 more
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Journal of Public Administration, Finance and Law, 2022 : Fractal Market Hypothesis was developed as an alternative to Efficient Market Hypothesis, as it encompassed liquidity as a determinant factor for price.
Ana-Maria Metescu
semanticscholar +2 more sources
Portfolio selection and fractal market hypothesis: Evidence from the London stock exchange
Pamukkale University Journal of Engineering Sciences, 2023 It is well known that the models supporting the Modern Portfolio Theory (MPT) and the Efficient Market Hypothesis (EMH) are constructed in the framework of random walk theory. However, a large and growing literature criticizes those models. The Fractal Market Hypothesis (FMH) was proposed as an alternative hypothesis to EMH.
Hakan Aygören, Umut Uyar
semanticscholar +3 more sources