Abstract:
The aim of this dissertation is to show the presence of fractal behaviours in the markets and to develop a trading strategy to take advantage of them. The thesis starts with a brief presentation of the Efficient Market Hypothesis proposed by E. Fama and the explanation of the critics and the resulting introduction of the Fractal Market Hypothesis by E. Peters. Then, the latter theory is applied through the implementation in a trading strategy of a new indicator developed starting from the Hurst's exponent, and illustrating its trading performance compared to other classical indicators such as the MACD.
