| bibtype |
J -
Journal Article
|
| ARLID |
0397560 |
| utime |
20240103203121.6 |
| mtime |
20131112235959.9 |
| WOS |
000325216000004 |
| DOI |
10.1038/srep02857 |
| title
(primary) (eng) |
Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence |
| specification |
| page_count |
7 s. |
| media_type |
E |
|
| serial |
| ARLID |
cav_un_epca*0386594 |
| ISSN |
2045-2322 |
| title
|
Scientific Reports |
| volume_id |
3 |
| volume |
10 (2013) |
| publisher |
| name |
Nature Publishing Group |
|
|
| keyword |
fractal markets hypothesis |
| keyword |
investment horizons |
| keyword |
wavelets |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
GAP402/11/0948 |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0284442 |
|
| abstract
(eng) |
We analyze whether the prediction of the fractal markets hypothesis about a dominance of specific investment horizons during turbulent times holds. To do so, we utilize the continuous wavelet transform analysis and obtained wavelet power spectra which give the crucial information about the variance distribution across scales and its evolution in time. We show that the most turbulent times of the Global Financial Crisis can be very well characterized by the dominance of short investment horizons which is in hand with the assertions of the fractal markets hypothesis. |
| reportyear |
2014 |
| RIV |
AH |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0225903 |
| mrcbT16-e |
MULTIDISCIPLINARYSCIENCES |
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5.078 |
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0.823 |
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1.IV |
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0.03624 |
| mrcbT16-j |
2.174 |
| mrcbT16-k |
7118 |
| mrcbT16-l |
2484 |
| mrcbT16-s |
1.998 |
| mrcbT16-z |
ScienceCitationIndexExpanded |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
82.411 |
| mrcbT16-C |
91.818 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q2 |
| arlyear |
2013 |
| mrcbU34 |
000325216000004 WOS |
| mrcbU63 |
cav_un_epca*0386594 Scientific Reports 2045-2322 2045-2322 Roč. 3 č. 10 2013 , 2857-1-2857-12 Nature Publishing Group |
|