Economic risk assessment using the Fractal Market Hypothesis

Jonathan Blackledge; Marek Rebow

doi:10.1109/ICIMP.2010.28

Economic risk assessment using the Fractal Market Hypothesis

Jonathan Blackledge, Marek Rebow

Faculty of Engineering and Built Environment

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

This paper considers the Fractal Market Hypothesis (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.

Original language	English
Title of host publication	5th International Conference on Internet Monitoring and Protection, ICIMP 2010
Pages	41-47
Number of pages	7
DOIs	https://doi.org/10.1109/ICIMP.2010.28
Publication status	Published - 2010
Event	5th International Conference on Internet Monitoring and Protection, ICIMP 2010 - Barcelona, Spain Duration: 9 May 2010 → 15 May 2010

Publication series

Name	5th International Conference on Internet Monitoring and Protection, ICIMP 2010

Conference

Conference	5th International Conference on Internet Monitoring and Protection, ICIMP 2010
Country/Territory	Spain
City	Barcelona
Period	9/05/10 → 15/05/10

Keywords

Fractal market hypothesis
Risk assessment of economy
Risk assessment statistics and numerical data

Access to Document

10.1109/ICIMP.2010.28

Cite this

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abstract = "This paper considers the Fractal Market Hypothesis (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.",

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Blackledge, J & Rebow, M 2010, Economic risk assessment using the Fractal Market Hypothesis. in 5th International Conference on Internet Monitoring and Protection, ICIMP 2010., 5476889, 5th International Conference on Internet Monitoring and Protection, ICIMP 2010, pp. 41-47, 5th International Conference on Internet Monitoring and Protection, ICIMP 2010, Barcelona, Spain, 9/05/10. https://doi.org/10.1109/ICIMP.2010.28

Economic risk assessment using the Fractal Market Hypothesis. / Blackledge, Jonathan; Rebow, Marek.
5th International Conference on Internet Monitoring and Protection, ICIMP 2010. 2010. p. 41-47 5476889 (5th International Conference on Internet Monitoring and Protection, ICIMP 2010).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Economic risk assessment using the Fractal Market Hypothesis

Abstract

Publication series

Conference

Keywords

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