The Fractal Market Analysis and Its Application on Czech Conditions

Fraktální analýza trhu a její aplikace na českých podmínkách

Tran Van Quang

Acta Oeconomica Pragensia, 2005, vol. 2005, issue 1, 101-111

Abstract: This paper reviews the theoretical concept of "Effecient Market Hypothesis" and introduces new concept of "Fractal Market Hypothesis". According to this hypothesis the returns follow a biased random walk called a Hurst persistent process which is characterized as long memory process. Testing this concept on Czech stock market index PX50, the (R/S) analysis was carried out and the Hurst exponent was calculated. It finds out that stock returns of PX50 follows a persistent Hurst process with Hurst exponent of 0,662. This is significantly different from the value for a random walk and it is corresponding to results of other researches done before.

Keywords: fractal market hypothesis; Hurst exponent; Hurst persistent process (search for similar items in EconPapers)
JEL-codes: E44 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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DOI: 10.18267/j.aop.141

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