THE FRACTAL MARKET ANALYSIS NAD ITS APPLICATION ON CZECH CONDITIONS
Tran Van Quang
This paper reviews the theoretical concept of "Effecient Market Hypothesis" and introduces new concept of "Fractal Market Hypothesis". According to this hypothesis the returns follow a biased random walk called a Hurst persistent process which is characterized as long memory process. Testing this concept on Czech stock market index PX50, the (R/S)analysis was carried out and the Hurst exponent was calculated. It finds out that stock returns of PX50 follows a persistent Hurst process with Hurst exponent of 0,662. This is significantly different from the value for a random walk and it is corresponding to results of other researches done before.
fractal market hypothesis, Hurst exponent, Hurst persistent process
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.