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Description
  • 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.
  • 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. (en)
Title
  • Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
  • Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence (en)
skos:prefLabel
  • Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence
  • Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence (en)
skos:notation
  • RIV/00216208:11230/13:10173753!RIV14-GA0-11230___
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • I, P(GA402/09/0965), P(GAP402/11/0948), S
http://linked.open...iv/cisloPeriodika
  • October
http://linked.open...vai/riv/dodaniDat
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  • 75628
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  • RIV/00216208:11230/13:10173753
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  • returns; coherence; fluctuations; model; liquidity; trading volume; price changes; efficient capital-markets (en)
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  • GB - Spojené království Velké Británie a Severního Irska
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  • [004735C64CB3]
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  • Scientific Reports
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  • 3
http://linked.open...iv/tvurceVysledku
  • Krištoufek, Ladislav
http://linked.open...ain/vavai/riv/wos
  • 000325216000004
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  • 2045-2322
number of pages
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  • 10.1038/srep02857
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  • 11230
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