Search results for "fractal market hypothesis"

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Efficient or Fractal Market Hypothesis? A Stock Indexes Modelling Using Geometric Brownian Motion and Geometric Fractional Brownian Motion

2021

In this article, we propose a test of the dynamics of stock market indexes typical of the US and EU capital markets in order to determine which of the two fundamental hypotheses, efficient market hypothesis (EMH) or fractal market hypothesis (FMH), best describes market behavior. The article’s major goal is to show how to appropriately model return distributions for financial market indexes, specifically which geometric Brownian motion (GBM) and geometric fractional Brownian motion (GFBM) dynamic equations best define the evolution of the S&P 500 and Stoxx Europe 600 stock indexes. Daily stock index data were acquired from the Thomson Reuters Eikon database during a ten-year period, fro…

Rescaled rangeHurst exponentefficient market hypothesisGeometric Brownian motionFractional Brownian motionGeneral MathematicsFinancial marketgeometric fractional Brownian motionStock market indexFractalgeometric Brownian motion; geometric fractional Brownian motion; efficient market hypothesis; fractal market hypothesisfractal market hypothesisOrder (exchange)QA1-939Computer Science (miscellaneous)Econometricsgeometric Brownian motionEngineering (miscellaneous)MathematicsMathematicsMathematics

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