Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (Q5397464): Difference between revisions

Latest revision as of 09:48, 7 July 2024

scientific article; zbMATH DE number 6260408

Language	Label	Description	Also known as
English	Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity	scientific article; zbMATH DE number 6260408

Statements

instance of

scholarly article

0 references

title

Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (English)

0 references

0 references

0 references

0 references

0 references

20 February 2014

0 references

zbMATH Keywords

multifractional Brownian motion

0 references

pointwise Hölder exponent

0 references

asset price dynamics

0 references

time-varying parameter

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1080/14697688.2011.594080

0 references

cites work

The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation

0 references

Random cascades on wavelet dyadic trees

0 references

A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion

0 references

The generalized multifractional Brownian motion

0 references

On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion

0 references

Multifractional processes with random exponent

0 references

Long memory processes and fractional integration in econometrics

0 references

Identification d’un processus gaussien multifractionnaire avec des ruptures sur la fonction d’échelle

0 references

Identification of the Hurst index of a step fractional Brownian motion

0 references

Identifying the multifractional function of a Gaussian process

0 references

On roughness indices for fractional fields

0 references

Identification of filtered white noises

0 references

Elliptic Gaussian random processes

0 references

PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE

0 references

Modelling stock price movements: multifractality or multifractionality?

0 references

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY

0 references

Identification of multifractional Brownian motion

0 references

Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles

0 references

Long-range correlations and nonstationarity in the Brazilian stock market

0 references

Quadratic variations and estimation of the local Hölder index of a Gaussian process

0 references

Fractional Brownian Motions, Fractional Noises and Applications

0 references

Arbitrage with Fractional Brownian Motion

0 references

Q4301585

0 references

On optimal and data-based histograms

0 references

Identifiers

zbMATH Open document ID

1281.91083

0 references

DOI

10.1080/14697688.2011.594080

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5397464

@@ Property / cites work @@
+The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
+Normal rank
@@ Property / cites work @@
+Random cascades on wavelet dyadic trees
@@ Property / cites work: Random cascades on wavelet dyadic trees / rank @@
+Normal rank
@@ Property / cites work @@
+A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+The generalized multifractional Brownian motion
@@ Property / cites work: The generalized multifractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Multifractional processes with random exponent
@@ Property / cites work: Multifractional processes with random exponent / rank @@
+Normal rank
@@ Property / cites work @@
+Long memory processes and fractional integration in econometrics
+Normal rank
@@ Property / cites work @@
+Identification d’un processus gaussien multifractionnaire avec des ruptures sur la fonction d’échelle
+Normal rank
@@ Property / cites work @@
+Identification of the Hurst index of a step fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Identifying the multifractional function of a Gaussian process
+Normal rank
@@ Property / cites work @@
+On roughness indices for fractional fields
@@ Property / cites work: On roughness indices for fractional fields / rank @@
+Normal rank
@@ Property / cites work @@
+Identification of filtered white noises
@@ Property / cites work: Identification of filtered white noises / rank @@
+Normal rank
@@ Property / cites work @@
+Elliptic Gaussian random processes
@@ Property / cites work: Elliptic Gaussian random processes / rank @@
+Normal rank
@@ Property / cites work @@
+PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
+Normal rank
@@ Property / cites work @@
+Modelling stock price movements: multifractality or multifractionality?
+Normal rank
@@ Property / cites work @@
+MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY
+Normal rank
@@ Property / cites work @@
+Identification of multifractional Brownian motion
@@ Property / cites work: Identification of multifractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
+Normal rank
@@ Property / cites work @@
+Long-range correlations and nonstationarity in the Brazilian stock market
+Normal rank
@@ Property / cites work @@
+Quadratic variations and estimation of the local Hölder index of a Gaussian process
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
+Normal rank
@@ Property / cites work @@
+Q4301585
@@ Property / cites work: Q4301585 / rank @@
+Normal rank
@@ Property / cites work @@
+On optimal and data-based histograms
@@ Property / cites work: On optimal and data-based histograms / rank @@
+Normal rank