GAUK 46108: New Nonlinear Capital Markets Theories: Fractal, Bifurcational and Behavioral Approach
|Principal investigator:||PhDr. Jozef Baruník Ph.D., ČEZ Chair|
PhDr. Jaromír Baxa Ph.D.
PhDr. Petr Gapko
prof. Ing. Miloslav Vošvrda CSc.
Traditional approaches to financial markets leave several unanswered questions behind, as Efficient Market Hypothesis deviates from the empirical observations. Realisations of prices are different from Gaussian random walk, distributions of returns are far away from assumptions of normal. As the reaction to these empirical findings, there is a large amount of new approaches for the understanding of financial markets behavior. Our research is focused on these new approaches, which are so far marginalized in Czech economics, mainly on fractal, bifurcational and behavioral approaches. Fractal approach is based on self-similarity of financial time series, and the Fractal Market Hypothesis is generalization to the Efficient Market Hypothesis. Bifurcation theories (i.e.Cusp Catastrophe Theory) help us to understand extreme situations on the markets, especially market crashes. On the other hand, behavioral theories are explaining similar phenomenon with bounded rationality of agents, assymetric valuation function etc. Hence main goal of our project is to explore markets as complex, adaptive, nonlinear systems, and present empirical findings from emerging markets which have not yet been tested using these approaches.
|Work in grant:|