Fractal analysis of various markets.

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 retu...

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Main Authors: Herry Prabowo Danubrata., Irwan Sutanto., Wong, Heng Gee.
Other Authors: Cheang, Gerald Hock Lye
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/10354
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Institution: Nanyang Technological University
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spelling sg-ntu-dr.10356-103542023-05-19T03:30:06Z Fractal analysis of various markets. Herry Prabowo Danubrata. Irwan Sutanto. Wong, Heng Gee. Cheang, Gerald Hock Lye Nanyang Business School DRNTU::Business::Finance::Equity 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. 2008-09-24T07:42:44Z 2008-09-24T07:42:44Z 2007 2007 Final Year Project (FYP) http://hdl.handle.net/10356/10354 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Equity
spellingShingle DRNTU::Business::Finance::Equity
Herry Prabowo Danubrata.
Irwan Sutanto.
Wong, Heng Gee.
Fractal analysis of various markets.
description 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.
author2 Cheang, Gerald Hock Lye
author_facet Cheang, Gerald Hock Lye
Herry Prabowo Danubrata.
Irwan Sutanto.
Wong, Heng Gee.
format Final Year Project
author Herry Prabowo Danubrata.
Irwan Sutanto.
Wong, Heng Gee.
author_sort Herry Prabowo Danubrata.
title Fractal analysis of various markets.
title_short Fractal analysis of various markets.
title_full Fractal analysis of various markets.
title_fullStr Fractal analysis of various markets.
title_full_unstemmed Fractal analysis of various markets.
title_sort fractal analysis of various markets.
publishDate 2008
url http://hdl.handle.net/10356/10354
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