1] Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Opletalova 26, 110 00, Prague, Czech Republic, EU [2] Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic, Pod Vodarenskou vezi 4, 182 08, Prague, Czech Republic, EU.
Sci Rep. 2013 Oct 4;3:2857. doi: 10.1038/srep02857.
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.
我们分析了分形市场假说关于在动荡时期特定投资期限占主导地位的预测是否成立。为此，我们利用连续小波变换分析获得了小波功率谱，该谱提供了有关跨尺度方差分布及其随时间演变的关键信息。我们表明，全球金融危机最动荡的时期可以很好地用短期投资期限的主导来描述，这与分形市场假说的断言一致。
