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INVESTMENT IMPLICATIONS OF THE FRACTAL MARKET HYPOTHESIS

Annals of Financial Economics, 2019
The Efficient Market Hypothesis (EMH) has been repeatedly demonstrated to be an inferior — or at best incomplete — model of financial market behavior. The Fractal Market Hypothesis (FMH) has been installed as a viable alternative to the EMH. The FMH asserts that markets are stabilized by matching demand and supply of investors’ investment horizons ...
Adam Karp, Gary van Vuuren
exaly   +4 more sources

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Fractal market hypothesis and two power-laws

Chaos, Solitons & Fractals, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Weron, Aleksander, Weron, Rafał
openaire   +3 more sources

Do global financial crises validate assertions of fractal market hypothesis?

International Economics and Economic Policy, 2015
The frequent occurrence of crises in recent decades has triggered a debate between the proponents of Efficient market hypothesis and Fractal market hypothesis. While, the proponents of Efficient market hypothesis view crises as non-existent and highly improbable, the advocates of Fractal market hypothesis view crises as the dominance of certain ...
Arif Billah Dar, Niyati Bhanja, Aviral Kumar Tiwari   +2 more
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Evidence of the fractal market hypothesis in European industry sectors with the use of bootstrapped wavelet leaders singularity spectrum analysis

Chaos, Solitons & Fractals, 2022
The main purpose of this paper is to examine the Fractal Market Hypothesis (FMH) on family business, sustainability, shariah, green, technology, and global (all stocks) markets in European zone. By using the method of bootstrapped wavelet leaders, we found that there is strong evidence in favour of the FMH.
Salim Lahmiri, Stelios Bekiros, Frank Bezzina   +2 more
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Efficient Market Hypothesis and Fractal Market Hypothesis: evidence from Russian stock exchange

Management and Business Administration, 2021
This paper presents the results of the study of the fulfillment of the key conditions and prerequisites of the hypotheses of the efficiency and fractality of price behavior in financial markets for the period 1997–2021. Its relevance is due to the high volatility of the Russian stock market and its imperfections, which lead to significant price ...
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Fractal market hypothesis: evidence for nine Asian forex markets

Indian Economic Review, 2017
In this study , an attempt is made to test the Fractal Markets Hypothesis (FMH) which states that a financial market can plunge into crisis when a particular trading time horizon gains prominence over others. We apply a wavelet-based method to capture the activities in different timescales. We test the proposition for nine Asian forex markets of China,
Anoop S. Kumar, Chaithanya Jayakumar, Bandi Kamaiah   +2 more
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EXAMINING THE FRACTAL MARKET HYPOTHESIS CONSIDERING DAILY AND HIGH FREQUENCY FOR CRYPTOCURRENCY ASSETS

Fractals, 2022
Cryptocurrencies play a pivotal role in the financial market. Given this, we perform the asymmetric multifractal cross-correlation analysis to examine the weak form of the Efficient Market Hypotheses (EMH) considering two temporal scales. In the daily scale, we find that the pair Bitcoin–Litecoin displays the largest multifractal spectrum.
WERNER KRISTJANPOLLER, LEONARDO H. S. FERNANDES, BENJAMIN M. TABAK   +2 more
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THE FRACTAL MARKET HYPOTHESIS AS A NEW PARADIGM OF FINANCIAL ENGINEERING OF THE DERIVATIVES MARKET

Problems of Branch Economics
A.M. Lopuchin
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Investigation of fractal market hypothesis and forecasting time series stock returns for Tehran Stock Exchange and London Stock Exchange

International Journal of Finance & Economics, 2019
AbstractAn alternative investment theory to the widely utilized efficient market hypothesis, fractal market hypothesis analyses the daily randomness of the market and the turbulence witnessed during crashes and crises. The framework of the fractal market hypothesis proposes a clear explanation of investor behaviour throughout a market cycle, including ...
Mahdi Moradi, Mehdi Jabbari Nooghabi, Mohammad Mahdi Rounaghi   +2 more
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APPLYING THE FRACTAL MARKET HYPOTHESIS TO NIGERIA'S EQUITY MARKET PERFORMANCE

This study empirically tested the Fractal Market Hypothesis (FMH) in the Nigerian Stock Market (NSM) using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) models. The FMH suggests that financial markets exhibit fractal characteristics, with price movements influenced by heterogeneous agents and long-term memory, as ...
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