Institute of Information Theory and Automation

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Publication details

Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Journal Article

Krištoufek Ladislav

serial: Scientific Reports vol.3, 10 (2013)

project(s): GA402/09/0965, GA ČR, GAP402/11/0948, GA ČR

keywords: fractal markets hypothesis, investment horizons, wavelets

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abstract (eng):

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 the Global Financial Crisis can be very well characterized by the dominance of short investment horizons which is in hand with the assertions of the fractal markets hypothesis.


bocek: 2012-12-21 16:10