GAUK 5183/2010 (118310) Fractality and multi-fractality of financial markets: methods and applications
|Principal investigator:||PhDr. Ladislav Krištoufek|
PhDr. Jozef Baruník Ph.D., ČEZ Chair
Mgr. Lukáš Vácha Ph.D.
|Description:||Financial markets have been described as random systems, which behave according to the random walk and are thus unpredictable, for many years. Especially in the last 15 years, there have been results published and theories stated, which describe the markets as complex nonlinear systems. Such systems can show patterns and can be predictable. One of such theories is (multi)fractal theory of the financial markets which describes the market as a place where many heterogeneous agents interact and are not necessarily behaving rationally, but are “herding” and are thus following trends and sentiments on the markets. Our research project focuses on the fractal description of financial markets. In the project, we will focus on four main areas. Firstly, we will test statistical properties of estimates of the characteristic exponent of fractal, self-similar and long-term memory processes – Hurst exponent H. Secondly, we will research relationship between multi-fractality and crashes on the financial markets and thus predictability of such events. Thirdly, we will test whether heterogeneous agents models (HAM) show multi-fractality, which has been shown to be present in the financial markets. The last area deals with testing whether persistence, which is connected with fractality, is statistically significant for market behavior prediction.|
|Work in grant:|
|Finance:||Financed by the Grant Agency of the Charles University (GAUK)|