1. OAR@UM
  2. External Research Collection
  3. Social Sciences
  4. Finance
  5. European Research Studies Journal
  6. 2010
  7. European Research Studies Journal, Volume 13, Issue 2
Please use this identifier to cite or link to this item: https://www.um.edu.mt/library/oar/handle/123456789/32269
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dc.contributor.authorPanas, Epaminondas-
dc.contributor.authorNinni, Vassilia-
dc.date.accessioned2018-07-25T16:00:37Z-
dc.date.available2018-07-25T16:00:37Z-
dc.date.issued2010-
dc.identifier.citationPanas, E., & Ninni, V. (2010). The distribution of London metal exchange prices : a test of the Fractal Market Hypothesis. European Research Studies Journal, 13(2), 193-210.en_GB
dc.identifier.urihttps://www.um.edu.mt/library/oar//handle/123456789/32269-
dc.description.abstractThe purpose of the present work is to study the fractal properties of the London Metal Exchange (LME) returns time series. Special emphasis is given to the fundamental issue of detection, identification, and measurement of scaling behaviour of LME returns time series. A fractal approach through ARFIMA models is used to analyze the LME time series. The stable distribution has also been used in order to test the Fractal Market Hypothesis (FMH) in the case of LME market. It is demonstrated that LME returns data possess to some extent fractal properties. The findings are in line with the FMH.en_GB
dc.language.isoenen_GB
dc.publisherUniversity of Piraeus. International Strategic Management Associationen_GB
dc.rightsinfo:eu-repo/semantics/openAccessen_GB
dc.subjectTime-series analysisen_GB
dc.subjectMetal trade -- Great Britainen_GB
dc.subjectFractalsen_GB
dc.subjectStock transfer -- Great Britainen_GB
dc.titleThe distribution of London metal exchange prices : a test of the Fractal Market Hypothesisen_GB
dc.typearticleen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.description.reviewedpeer-revieweden_GB
dc.publication.titleEuropean Research Studies Journalen_GB
Appears in Collections:European Research Studies Journal, Volume 13, Issue 2

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