Fractal analysis of various markets.
Herry Prabowo Danubrata.
Wong, Heng Gee.
Date of Issue2007
College of Business (Nanyang Business School)
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.
Final Year Project (FYP)
Nanyang Technological University