the introductory issue of the journal of financial research contains six articles in farsi and one in english. it also offers a glossary of financial terminology. the first article deals with the efficient capital market hypothesis , and is authored by dr. ali jahankhani & hussein abdoh tabrizi. it explains the concept and theories of capital market efficiency and their historical development i...

The standard hypothesis concerning the behavior of asset returns states that they follow a random walk in discrete time or a Brownian motion in continuous time. The Brownian motion process is characterized by a quantity, called the Hurst exponent, which is related to some fractal aspects of the process itself. For a standard Brownian motion (sBm) this exponent is equal to 0.5. Several empirical...

Complexity, Risk, and Financial Markets completes a trilogy of books on chaos and fractal analysis. Fractal analysis examines self-similarity or scale invariance, a structure that is often present in seemingly random and otherwise complex processes. Time series, for example, exhibit self-similarity if subsamples resemble compressed versions of longer samples. Pioneered by engineers, mathematici...

We will promote the establishment of a unified national carbon market, effectively control and gradually reduce emissions, contribute to reduction it is great significance economic transformation green low-carbon. Based on time series price, this paper conducts exploratory research effectiveness trading market in eight pilot regions, uses fractal hypothesis, adopts re-rating difference analysis...

This paper explores the conceptual background to financial time series analysis and financial signal processing in terms of the Efficient Market Hypothesis. By revisiting the principal conventional approaches to market analysis and the reasoning associated with them, we develop a Fractal Market Hypothesis that is based on the application of non-stationary fractional dynamics using an operator o...

The article is devoted to analysis of currency quotes behavior on the currency market by defining dynamic changes over time. The main tool of fractal analysis is the Hurst under the hypothesis of fractal market. For 17 major currency pairs on closing prices and the prices maximum-minimum the Hurst index is calculated by formula for the adjusted R/S analysis. Values at the currency markets of di...

In this paper, we study the fractal characteristics of the futures market. We take the empirical study on London Gold Futures yield by Rescaled Range Analysis, analyzing the fractal characteristics of the futures market. We further determine fractal characteristics and the structure of the nonlinear time series through random disturb the original time series observation sequence. The result of ...