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- W2210991199 abstract "Time series of financial market prices appear to exhibit fractal properties: that is, under magnification, their pattern becomes increasingly complex, and seems to repeat itself, with a pattern that is qualitatively similar to that of the overall structure. This paper examines why and how these fractal properties might arise, and considers their implications for understanding the causes of financial (in)stability. It offers a quantitative model of investor behaviour and price formation that seeks to account for fractal properties of market prices. It conjectures that the dynamic of market prices — in particular its self-similarity — might be caused by the interactions of agents with different investment horizons and differing interpretations of information. This structure appears to be associated with a special sort of stability that can be disrupted, causing prices to crash, if the normal interaction of these agents breaks down." @default.
- W2210991199 created "2016-06-24" @default.
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- W2210991199 date "2013-08-23" @default.
- W2210991199 modified "2023-09-27" @default.
- W2210991199 title "Financial Stability Paper No 23: The Fractal Market Hypothesis and its implications for the stability of financial markets" @default.
- W2210991199 hasPublicationYear "2013" @default.
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