Document Type

Conference Paper

Rights

This item is available under a Creative Commons License for non-commercial use only

Disciplines

5.2 ECONOMICS AND BUSINESS

Publication Details

IEEE Computer Society, vol: 978-0-7695-4023-8, pages: 41 - 47, Fifth International Conference on Internet Monitoring and Protection, Barcelona

Abstract

This paper considers the Fractal Market Hypothesi (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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