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For (S, ) a measurable space, let C1 and C2 be convex, weak∗ closed sets of probability measures on . We show that if C1 ∪ C2 satisfies the Lyapunov property, then there exists a set A ∈ such that minμ1∈C1 μ1(A)>maxμ2∈C2 μ2(A). We give applications to Maxmin Expected Utility (MEU) and to the core of a lower probability.

The analysis of capital markets efficiency has attracted a considerable number of studies in empirical finance, but conflicting and inconclusive outcomes have been generated. The aim of this paper is to find any evidence that the selected emergent capital markets (eight emergent European and BRIC markets, namely Hungary, Romania, Estonia, Czech Republic, Brazil, Russia, India and China) abide b...

This paper presents trend prediction results based on backtesting of the European Union Emissions Trading Scheme futures market. is Intercontinental Exchange from 2005 to 2019. An alternative strategy taken that predicated an application Fractal Market Hypothesis (FMH) in order develop indicator predictive short term future behaviour. To achieve this, we consider a change polarity Lyapunov-to-V...

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two-point volatility correlation are used to measure and compare volatility among six di¤erent countries for the 12-year period from Jan. 1 1990 to Dec.31 2001. New York market is found to be the strongest among the six in terms of market e¢ ciency. Moreover, the Tokyo and Singapore mar...

a r t i c l e i n f o We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft commodities , grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is heating oil, closely followed by WTI crude oil, cotton, wheat, and coffee. On t...

As one of the main areas value investing, stock market attracts attention many investors. Among investors, index movements are a focus attention. In this paper, combining efficient hypothesis and fractal hypothesis, prediction model based on mixed fractional Brownian motion (MFBM) an improved fractional-order particle swarm optimization algorithm is proposed. First, MFBM constructed by adjustin...