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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 | Schools: | Nanyang Business School | 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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NBS-REPORTS_2912.pdf Restricted Access | 876.62 kB | Adobe PDF | View/Open |
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