Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

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.

• Publication year

  2013

• Venue

  Scientific Reports

• Publication date

  2013-10-04

• Fields of study

  Medicine, Physics, Computer Science, Economics

• Identifiers
  DOI 10.1038/srep02857arXiv 1310.1446PMID 24091386PMCID 3790199
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar, PubMed

• No claims are published for this paper.

• No concepts are published for this paper.

• Comment

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