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Fractal Market Hypothesis and R/S analysis of the Czech capital market

, 2009
Tato práce se zaměřuje na relativně moderní teorii kapitálového trhu -- Hypotézu Fraktálního Trhu. Obsahem práce kromě základních teoretických předpokladů této hypotézy je aplikace R/S analýzy na český kapitálový trh.
Barkhanskyy, Kostyantyn
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Unveiling Long-Memory Dynamics in Turbulent Markets: A Novel Fractional-Order Attention-Based GRU-LSTM Framework with Multifractal Analysis

Fractal and Fractional
Financial time series in turbulent markets exhibit complex long-memory dynamics and multifractal features that traditional deep learning models fail to capture due to inherent exponential forgetting mechanisms. To address this, we propose Frac-Attn-GL, a
Yangxin Wang, Yuxuan Zhang
doaj   +1 more source

Dynamical Agents' Strategies and the Fractal Market Hypothesis

The efficient market hypothesis (EMH) fails as a valid model of financial markets. The fractal market hypothesis (FMH) is a more general alternative way to the EMH. The FMH is formed on the following parameter space: agents' investment horizons.
Miloslav S. Vošvrda, Lukáš Vácha
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CED Model for Asset Returns and Fractal Market Hypothesis.

, 2007
A new general model for asset returns is studied in the framework of the Fractal Market Hypothesis (FMH). To accomodate markets with arbitrage opportunities it concerns capital market systems in which the Conditionally Exponential Dependence (CED ...
Rafal Weron, Aleksander Weron, Svetlozar T. Rachev   +2 more
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Using fractal dimensions for characterizing intra-urban diversity. The example of Brussels [PDF]

The objective of this paper is to compare fractal-based parameters calculated by different fractal methods for urban built-up areas, and to link the observed spatial variations to variables commonly used in urban geography, urban economics or land use ...
Pierre Frankhauser, Isabelle Thomas, Marie-Laurence De Keersmaecker   +2 more
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Expecting the Unexpected: Entropy and Multifractal Systems in Finance. [PDF]

Entropy (Basel), 2023
Orlando G, Lampart M.
europepmc   +1 more source

The Distribution of London Metal Exchange Prices: A Test of the Fractal Market Hypothesis

The purpose of the present work is to study the fractal properties of the London Metal Exchange (LME) returns time series. Special emphasis is given to the fundamental issue of detection, identification, and measurement of scaling behaviour of LME ...
Vassilia Ninni, Epaminondas Panas
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TESTING EFFICIENCY AND THE UNBIASEDNESS HYPOTHESIS OF THE EMERGING GREEK FUTURES MARKET [PDF]

This paper investigates the joint hypothesis of market efficiency and unbiasedness of futures prices for the FTSE-20 blue chip index futures contract.
Dimitris Kenourgios
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Fractal dimension analysis of stock prices of selected resulting companies after mergers and acquisitions. [PDF]

Eur Phys J Spec Top, 2023
Verma SK, Kumar S.
europepmc   +1 more source

The adaptive markets hypothesis: evidence from the foreign exchange market [PDF]

We analyze the intertemporal stability of excess returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously studied rules.
Christopher J. Neely, Paul A. Weller, Joshua M. Ulrich   +2 more
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