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

被引：0
|
作者：
Kristoufek, Ladislav [1 ,2 ]
机构：
[1] Charles Univ Prague, Fac Social Sci, Inst Econ Studies, Prague 11000, Czech Republic
[2] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague, Czech Republic
来源：
SCIENTIFIC REPORTS | 2013年 / 3卷
关键词：
EFFICIENT CAPITAL-MARKETS; PRICE CHANGES; FLUCTUATIONS; COHERENCE; LIQUIDITY; RETURNS; VOLUME; MODEL;
D O I：
10.1038/srep02857
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
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.
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页数：7
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