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Contribution Details

Type Bachelor's Thesis
Scope Discipline-based scholarship
Title Fractals in Finance
Organization Unit
Authors
  • Maurizio Di Lucente
Supervisors
  • Erich Walter Farkas
  • Ludovic Mathys
Language
  • English
Institution University of Zurich
Faculty Faculty of Business, Economics and Informatics
Date 2017
Abstract Text This bachelor thesis shows a frontier between mathematics and finance. Currently, there are several different views and transformations on financial markets and risks, which make understanding, or attempts to understand, the financial environment particularly difficult and complex. This literature-based thesis moves from the Efficient Market Hypothesis (EMH) to the Fractal Market Hypothesis (FMH), using fractal geometry and its application, which represent the tool for this transition. This paper does not perform an in depth examination of fractal geometry, but rather focuses on giving an overview of the main concepts in this area of mathematics and the basics of random walks and Brownian motion. Strengths and the weaknesses of both the EMH and FMH are discussed. The main approaches using fractals are shown, addressing developments and different thoughts proposed by Mandelbrot, the “father” of fractals, as well as other researchers. Finally, current research themes are covered and the future of this field in finance discussed.
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