Title: From Efficient Market Hypothesis to Fractal Market Hypothesis
Abstract: This paper introduces the formation and development of the theory of Efficient Market Hypothesis as well as arguments that the theory induces. The basic principle of Fractal Market Hypothesis is elucidated here and the fractal market structure in the Chinese Stock Market is also analyzed. The finding indicates: Chinese stock market has obvious fractal characteristics and persistence. The stock return is not in accord with random walk process. The stock return series is not independent, and it has long_term memory about 62 weeks.
Publication Year: 2004
Publication Date: 2004-01-01
Language: en
Type: article
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