Fractal market hypothesis and two power-laws |
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| Institution: | 1. Hugo Steinhaus Center for Stochastic Methods, Technical University of Wrocław, 50-370 Wrocław, Poland;2. Institute of Mathematics, Technical University of Wrocław, 50-370 Wrocław, Poland;1. Department of Finance and Accounting, Faculty of Management and Economic Sciences of Tunis, El Manar University, B.P. 248, C.P. 2092, Tunis Cedex, Tunisia;2. Graduate School of Environmental Studies, Tohoku University, Japan;1. Department of Construction and Manufacturing Engineering, University of Oviedo, 33204 Gijón, Spain;2. Mining Exploitation and Prospecting Department, University of Oviedo, 33004 Oviedo, Spain;3. Department of Business Management, University of Oviedo, 33004 Oviedo, Spain;4. Department of Industrial Risk Assessment, Central Mining Institute, Plac Gwarków 1, 40-166 Katowice, Poland;1. Faculty of Engineering, Trg D. Obradovića 6, Novi Sad 21000, Serbia;2. Institute of Physics Belgrade, University of Belgrade, Pregrevica 118, Zemun 11080, Belgrade, Serbia;1. Division of Business Administration, Chosun University, Gwangju 501-759, Republic of Korea;2. Department of Physics, Chosun University, Gwangju 501-759, Republic of Korea |
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| Abstract: | A fractal approach is used to analyze financial time series by applying different degrees of time resolutions. This leads to the heterogenous market hypothesis (HMH), where different market participants analyze past events and news with different time horizons. A new general model for asset returns is studied in the framework of the fractal market hypothesis (FMH). It concerns capital market systems in which the conditionally exponential dependence (CED) property can be attached to each investor on the market. |
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