Investigation of the markets dynamics type for a comparative analysis of the investment instruments attractiveness

Анотація

The article contributes to solving the problem of choosing the most attractive investment instrument from a variety of alternatives based on a comparative analysis of the dynamics of relevant markets. The nature of the dynamics affects the predictability level of the investor's income and is determined by finding out which hypothesis corresponds to the dynamics: Efficient market hypothesis, Fractal market hypothesis and Coherent market hypothesis. For this purpose, a comparative analysis methodology has been proposed, which is based on the use of statistical analysis methods, combined with methods of complex fractal analysis to identify the presence in the dynamics of deterministic chaos and assess time series characteristics. On the example of three markets, a comparative analysis of three instruments (gold, currency pair of EUR / USD and Bitcoin cryptocurrency) was conducted.

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