Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881)

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Modelling NASDAQ series by sparse multifractional Brownian motion
scientific article

    Statements

    title
    Modelling NASDAQ series by sparse multifractional Brownian motion (English)
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    author
    Pierre R. Bertrand
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    Abdelkader Hamdouni
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    Samia Khadhraoui
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    publication date
    26 June 2012
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    zbMATH Keywords
    model selection
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    finance
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    fractional Brownian motion
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    generalized quadratic variation
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    wavelet analysis
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    Identifiers

    Mathematics Subject Classification ID
    62P05
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    62M05
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    91G70
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    62M10
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    42C40
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    62J05
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    91B84
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    65C60
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    zbMATH DE Number
    6050375
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