A Review of the Fractal Market Hypothesis for Trading and Market Price Prediction
نویسندگان
چکیده
This paper provides a review of the Fractal Market Hypothesis (FMH) focusing on financial times series analysis. In order to put FMH into broader perspective, Random Walk and Efficient Hypotheses are considered together with basic principles fractal geometry. After exploring historical developments associated different hypotheses, an overview mathematical modelling is provided. The principal goal this consider intrinsic scaling properties that characteristic for each hypothesis. regard FMH, it explained why time can be taken characterised by 1/t1?1/? law, where ?>0 Lévy index, which able quantify likelihood extreme changes in price differences occurring (or otherwise). context, explores how coupled other metrics, such as Lyapunov Exponent Volatility, combined provide long-term forecasts. Using these forecasts quantification risk assessment, short-term predictions using machine learning approach evolve nonlinear formula simulates values. A short case study presented reports use forecast Bitcoin exchange rate
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ژورنال
عنوان ژورنال: Mathematics
سال: 2021
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math10010117