Abstracting and IndexingРИНЦReferativny Zhurnal VINITI RAS Worldcat LCCN Permalink Google Scholar Online availableEastvieweLIBRARY.RU Biblioclub |
Assessment of risk according to fractal market hypothesis
Available online: 10 June 2013 Subject Heading: Stock market JEL Classification:
The traditional approach to the study of the financial dynamics is the efficient market hypothesis, assuming random price dynamics. Markowitz portfolio theory estimates risk is as a dispersion of stock returns. The alternative approach is fractal market hypothesis that better describes real financial dynamics. In this article the method of measuring risk according to fractal hypothesis, based on estimating noise level in stock dynamics is suggested. Keywords: stock returns, risk, random noise, fractals, non-linear dynamics, correlation dimension |
ISSN 2311-8709 (Online)
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