English, Article edition: DYNAMICAL AGENTS' STRATEGIES AND THE FRACTAL MARKET HYPOTHESIS Lukáš Vácha; Miloslav S. Vošvrda

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Bookmark: http://trove.nla.gov.au/version/197665
Physical Description
  • article
Language
  • English

Edition details

Title
  • DYNAMICAL AGENTS' STRATEGIES AND THE FRACTAL MARKET HYPOTHESIS
Author
  • Lukáš Vácha
  • Miloslav S. Vošvrda
Physical Description
  • article
Notes
  • The efficient market hypothesis (EMH) fails as a valid model of financial markets. The fractal market hypothesis (FMH) is a more general alternative way to the EMH. The FMH is formed on the following parameter space: agents' investment horizons. A financial market is more stable when a fractal character in the structures of agent's investment horizons is adopted. For computer simulations, the classical model is modified. This adjusted model shows that various frequency distributions on agents' investment horizons lead to different returns behaviour. The FMH focuses on matching of demand and supply of agents' investment horizons in the financial market. The FMH asserts that investors have different information based on temporal attributes. Since all investors in the market have different time investment horizons, the market remains stable. Our simulations of probability distributions of agents' investment horizons demonstrate that many investment horizons guarantee stability on the financial market.
  • fractal market hypothesis, efficient market hypothesis, agents' trading strategies, agents' investment horizons
  • RePEc:prg:jnlpep:v:2005:y:2005:i:2:id:260:p:163-170
Language
  • English
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