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Relume: A fractal analysis for the US stock market

Author

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  • Taro Ikeda

    (Graduate School of Economics, Kobe University)

Abstract

This note relumes fractal analysis on macroeconomics. We present a fractal market hypothesis for US stock prices.

Suggested Citation

  • Taro Ikeda, 2016. "Relume: A fractal analysis for the US stock market," Discussion Papers 1637, Graduate School of Economics, Kobe University.
    • Handle: RePEc:koe:wpaper:1637
    as

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    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2016/1637.pdf
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    References listed on IDEAS

    as
    1. Branch, William A. & McGough, Bruce, 2010. "Dynamic predictor selection in a new Keynesian model with heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(8), pages 1492-1508, August.
    2. William A. Branch & George W. Evans, 2011. "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 159-191, July.
    3. Branch, William A. & Evans, George W., 2013. "Bubbles, crashes and risk," Economics Letters, Elsevier, vol. 120(2), pages 254-258.
    4. Rachel E. S. Ziemba & William T. Ziemba, 2013. "Bubbles," World Scientific Book Chapters, in: Investing in the Modern Age, chapter 28, pages 379-386, World Scientific Publishing Co. Pte. Ltd..
    5. Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
    6. Booth, G. Geoffrey & Kaen, Fred R. & Koveos, Peter E., 1982. "R/S analysis of foreign exchange rates under two international monetary regimes," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 407-415.
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    Cited by:

    1. Taro Ikeda, 2016. "A fractal analysis of US industrial sector stocks," Discussion Papers 1643, Graduate School of Economics, Kobe University.

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    More about this item

    Keywords

    Fractal geometry; Hurst exponent; market efficiency; chaos;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • E39 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Other
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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