Document Type
Conference Paper
Rights
Available under a Creative Commons Attribution Non-Commercial Share Alike 4.0 International Licence
Disciplines
5.2 ECONOMICS AND BUSINESS
Abstract
This paper considers the Fractal Market Hypothesi (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale provided there is sufficient data to make the output of a FMH analysis statistically significant.
Recommended Citation
Blackledge, J., Rebow, M.:Economic Risk Assessment using the Fractal Market Hypothesis. Fifth International Conference on Internet Monitoring and Protection, Barcelona, pp.41-47.
Included in
Applied Statistics Commons, Finance and Financial Management Commons, Management Sciences and Quantitative Methods Commons, Probability Commons, Statistical Models Commons
Publication Details
IEEE Computer Society, vol: 978-0-7695-4023-8, pages: 41 - 47, Fifth International Conference on Internet Monitoring and Protection, Barcelona