The Fractal Market Hypothesis's Application And Research

The Efficient Market Hypothesis and The Fractal Market Hypothesis all are the basic hypothesis of capital market in modern financial theory. The Efficient Market Hypothesis sketch a ideal state about stock market in linear pattern methods, contrary to EMH, the Fractal Market Hypothesis sketch a real state about stock market well and true from nonlinear visual angle, which inaugurate a new field of vision of analysis the character of the movement of stock market prices, and design a new frame of analysis method.This paper start with the writer's pondering about forecast, rule and cycle first, which consider in the point of western's philosophic view, oppugns the Efficient Market Hypothesis with paradigm of linear, and get some new perspective about economic models' methodology from writer. The paper thinking it has some problems in the presupposition of market normal distribution, the presupposition of investor's rational behavior and explanation of price fluctuation etc, Then a great deal of substantial evidence and analysis results are put forward .The paper considers the Fractal Market Hypothesis with paradigm of non-linear can contribute to improve the puzzle of Efficient Market Hypothesis. In the paper, it expounds these new tools in the nonlinearity complicated theory, introducing some important achievements ,which were gotten by applying these new tools in foreign capital markets .These results have indicated the overseas markets have some fractal structures.Furthermore, this paper attempts to apply R/S analysis, Hurst Exponent, Fractal dimension to analyze stock market in China. It fords the hurst exponent is 0.641, and the average cycle is about 60 weeks.In addition, it is found that the logarithm yield of Shanghai stock integration exponent does not submit to normal distribution,but submits to stable -paretian distribution. It can be found that Chinese stock market has also fractal structure.On the foundation of examining the data of the overseas markets and home market,the paper thinks it is valid that the Fractal Market Hypothesis considers the capital markets have fractal structure and thinks that the hypothesis of market normal distribution is notreliable, investors' behavior is complicated, investor's response to...