Publication detail

Kristoufek, L.: Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Author(s): prof. PhDr. Ladislav Krištoufek Ph.D.,
Type: Articles in journals with impact factor
Year: 2013
Number: 0
ISSN / ISBN:
Published in: Scientific Reports 3:2857 PDF
Publishing place:
Keywords: Global financial crisis, wavelets, Fractal markets hypothesis
JEL codes:
Suggested Citation: Kristoufek, L. Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence. Sci. Rep. 3, 2857
Abstract: 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.
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