Work detail

A Fractal View of Coffee Prices

Author: Bc. Johana Vaškovicová
Year: 2013 - summer
Leaders: prof. PhDr. Petr Teplý Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 61
Awards and prizes:
Link:
Abstract: This thesis analyses the co ee time series from the viewpoint of Fractal Mar-
ket Hypothesis. It presents a brief history of co ee, one of the most traded
commodities, followed by the characterization of co ee markets. The thesis is
motivated by the fractal geometry developed by B.B. Mandelbrot and presents
an overview of the very complex eld of fractals, discussing their main proper-
ties. Further on, we deal with the assumptions of the two alternative theories of
the nancial markets - the Ecient Market Hypothesis and the Fractal Market
Hypothesis. The main goal of the thesis is to estimate the Hurst exponent,
which provides a measure of self-similarity and distinguishes between random,
persistent and anti-persistent series. Three di erent estimation methods are
described in detail and applied to arabica and robusta time series of returns
and volatility - the rescaled range analysis, the modi ed rescaled range analysis
and the detrended
uctuation analysis.

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