Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

Details Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

2012-03-22

arxiv.org/abs/1203.4979v1

Economy

Quantitative Finance

Statistical Finance

11 pages, 3 figures

Scientific paper

We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, fractal markets hypothesis considers financial markets as com- plex systems consisting of many heterogenous agents, which are distinguishable mainly with respect to their investment horizon. In the paper, several novel measures of trading activity at different investment horizons are introduced through scaling of variance of the underlying processes. On the three most liquid US indices - DJI, NASDAQ and S&P500 - we show that predictions of fractal markets hypothesis actually fit the observed behavior quite well.

Affiliated with

Also associated with

No associations

Rating

Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-381793