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Tesi etd-10272010-163436


Thesis type
Tesi di laurea specialistica
Author
CASSESE, PIERPAOLO
URN
etd-10272010-163436
Title
FINANZA FRATTALE APPLICATA AI MERCATI FINANZIARI
Struttura
ECONOMIA
Corso di studi
BANCA, BORSA E ASSICURAZIONI
Commissione
relatore Prof. Bellandi, Piero
Parole chiave
  • EMH
  • finanza frattale
  • Mandelbrot
  • Hurst
  • R/S ANALYSIS
  • Fibonacci
  • Elliott
Data inizio appello
25/11/2010;
Consultabilità
completa
Riassunto analitico
Abstract<br>This paper presents a Fractal model with an application at the financial markets like supposed by Benoit Mandelbrot in his paper “ Multifractal Model of Asset Returns” in 1974. Starting by Efficient Market Hypothesis, I will explain the theorical evolution based upon the important view which interests the financial markets that they lost the feature of the efficient markets overcame by the different theory proposed by Mandelbrot and others researchers. <br>I will show as the markets became fractals respect to the past, where the prevalent view was based that they was efficient because the stock prices reflected all informations within the prices. These ideas are&#39;t right for Mandelbrot which he thinks that the financial markets are characterized by self similarity and also by time scaling proprierties; As such, the view rispect at the past is changed on financial markets and on risk, since now the studies that interests the risk management and asset allocation replaced at the traditionally research method with the technical approach based on Caos theory. <br>However in this paper I will investigate these different methods to choose the trading strategies to manage a portfolio with a short term view monitoring four italian stocks.<br><br>Keywords : Efficient Market Hypothesis, Bachelier, Thèorie dè la Speculation,
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