0381821 20240103201341.120121030235959.9 000311050300004 10.1142/S0219525912500658 13 s. cav_un_epca*00398540219-5259 156 (2012) fractal markets hypothesis scaling fractality investment horizons efficient markets hypothesis cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2012/E/kristoufek-fractal markets hypothesis and the global financial crisis scaling investment horizons and liquidity.pdf 118310 GA UK CZ cav_un_auth*0274537 265 504 SVV CZ GA402/09/0965 GA ČR cav_un_auth*0253176 We investigate whether the fractal markets hypothesis and its focus on liquidity and investment horizons give reasonable predictions about the dynamics of the financial markets during turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, the fractal markets hypothesis considers the financial markets as complex systems consisting of many heterogenous agents, which are distinguishable mainly with respect to their investment horizon. In the paper, several novel measures of trading activity at different investment horizons are introduced through the scaling of variance of the underlying processes. On the three most liquid US indices — DJI, NASDAQ and S&P500 — we show that the predictions of the fractal markets hypothesis actually fit the observed behavior adequately. 2013 AH 1 RVO:67985556 http://hdl.handle.net/11104/0007175 MATHEMATICSINTERDISCIPLINARYAPPLICATIONS|MULTIDISCIPLINARYSCIENCES 0.953 0.207 5.2 0.00137 0.365 392 82 14 0.332 39.05 0.8 Q1 17.609 38.618 Q4 Q3 2012 000311050300004 WOS cav_un_epca*0039854 Advances in Complex Systems 0219-5259 1793-6802 Roč. 15 č. 6 2012 , 1250065-1-1250065-13