Market Fraction Hypothesis: Application to the South African Financial Market

Written by NEPTTP on December 4, 2020. Posted in Capstone Research Projects

Researchers: Patrick Mthisi, University of the Witwatersrand, Johannesburg
Supervisor: Dr Yudhvir Seetharam, University of the Witwatersrand, Johannesburg

This project uses a disaggregate modeling approach to model the behaviour of key financial market players in order to assess the quality of South African financial market. To achieve this, an Agent-based Model [1] is used as the primary tool. In addition, theoretical concepts that underlay Market Fraction Hypothesis [2] are used and the market fractions of the agents’ risk clusters are observed over a period of time to assess the quality of the financial market.