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The Fractal Market Analysis and Its Application on Czech Conditions
[Fraktální analýza trhu a její aplikace na českých podmínkách]

Author

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  • Tran Van Quang

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.

Suggested Citation

  • Tran Van Quang, 2005. "The Fractal Market Analysis and Its Application on Czech Conditions [Fraktální analýza trhu a její aplikace na českých podmínkách]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2005(1), pages 101-111.
    • Handle: RePEc:prg:jnlaop:v:2005:y:2005:i:1:id:141:p:101-111
    DOI: 10.18267/j.aop.141
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    Citations

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    Cited by:

    1. Sergeeva, Irina & Nikiforova, Vera, 2012. "The development of the portfolio management for the unit investment funds," MPRA Paper 35461, University Library of Munich, Germany.
    2. Mostafa Raeisi Sarkandiz & Robabeh Bahlouli, 2019. "The Stock Market between Classical and Behavioral Hypotheses: An Empirical Investigation of the Warsaw Stock Exchange," Econometric Research in Finance, SGH Warsaw School of Economics, Collegium of Economic Analysis, vol. 4(2), pages 67-88, December.

    More about this item

    Keywords

    fractal market hypothesis; Hurst exponent; Hurst persistent process;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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