The study looked at how stock market behavior can be predicted using a theory called fractal market hypothesis. Researchers used a special algorithm called L‐Co‐R to forecast stock returns on the Tehran and London Stock Exchanges from 2007 to 2013. They found that the algorithm was better at predicting stock returns on the London Stock Exchange compared to other methods, for all time horizons. However, on the Tehran Stock Exchange, the algorithm was only good at predicting short and medium-term returns. This means that the fractal market hypothesis was supported for Tehran but not for London.