The Efficient Market Hypothesis and the Fractal Market Hypothesis: Interfluves, Fusions, and Evolutions [PDF]
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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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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An Efficient Numerical Scheme for a Time-Fractional Black–Scholes Partial Differential Equation Derived from the Fractal Market Hypothesis [PDF]
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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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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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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Optimisation of Cryptocurrency Trading Using the Fractal Market Hypothesis with Symbolic Regression [PDF]
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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THE FRACTAL MARKET HYPOTHESIS [PDF]
Challenges of the Knowledge Society, 2012 In this article, the concept of capital market is analysed using Fractal Market Hypothesis which is a modern, complex and unconventional alternative to classical finance methods.
FELICIA RAMONA BIRAU
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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
doaj +5 more sources
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
doaj +7 more sources
Forum Scientiae Oeconomia, 2020 In determining the economic efficiency of an investment project, the rationale and choice of the discount rate is the most difficult step. The methods of investment assessment are built on the rate of return used to discount future cash flows back to ...
Andrii Kozlovsky +5 more
doaj +3 more sources