Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
نویسندگان
چکیده
منابع مشابه
Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power spectra which give the crucial information about the variance distribution across scales and its evolution in time. We show that the most turbulent times of th...
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We investigate whether fractal markets hypothesis and its focus on liquidity and investment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, fractal markets hypothesis considers financial markets as complex systems consisting of many hete...
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ژورنال
عنوان ژورنال: Scientific Reports
سال: 2013
ISSN: 2045-2322
DOI: 10.1038/srep02857