Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/10354
Title: Fractal analysis of various markets.
Authors: Herry Prabowo Danubrata.
Irwan Sutanto.
Wong, Heng Gee.
Keywords: DRNTU::Business::Finance::Equity
Issue Date: 2007
Abstract: The main aim of th is study is to analyze the proposition of a Fractal Market Hypothesis. To date, many existing capital market theories and pricing models are based on the fundamental of efficient market hypothesis (EMH), which assumes certain simplistic conditions such as the normality of the returns of financial assets. However, empirical studies have shown that the distribution of the returns of financial assets deviate from the normal distribution. Such observed deviations have no doubt illustrated the failure of the random walk theory to adequately model capital markets. As a result of all these shortcomings, the Fractal Market Hypothesis (FMH) was proposed to accommodate such deviations.
URI: http://hdl.handle.net/10356/10354
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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