英文标题：
《Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet
Power Evidence》
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作者：
Ladislav Kristoufek
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最新提交年份：
2013
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英文摘要：
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.
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中文摘要：
我们分析了关于动荡时期特定投资领域占主导地位的分形市场假说的预测是否成立。为此，我们利用连续小波变换分析，得到了小波功率谱，它提供了有关跨尺度方差分布及其时间演化的关键信息。我们表明，全球金融危机最动荡的时期可以很好地表现为短期投资的主导地位，这与分形市场假说的主张是一致的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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