English, Article edition: THE FRACTAL MARKET ANALYSIS NAD ITS APPLICATION ON CZECH CONDITIONS Tran Van Quang

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Physical Description
  • article
Language
  • English

Edition details

Title
  • THE FRACTAL MARKET ANALYSIS NAD ITS APPLICATION ON CZECH CONDITIONS
Author
  • Tran Van Quang
Physical Description
  • article
Notes
  • 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
  • RePEc:prg:jnlaop:v:2005:y:2005:i:1:id:141:p:101-111
Language
  • English
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