Modelling NASDAQ series by sparse multifractional Brownian motion

DOI10.1007/s11009-010-9188-5zbMath1241.62143OpenAlexW1999483010MaRDI QIDQ430881

Samia Khadhraoui, Abdelkader Hamdouni, Pierre R. Bertrand

Publication date: 26 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9188-5

zbMATH Keywords

model selectionfractional Brownian motionwavelet analysisfinancegeneralized quadratic variation

Mathematics Subject Classification ID

Related Items (7)

Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates ⋮ Goodness of fit assessment for a fractal model of stock markets ⋮ Investigating volatility transmission across international equity markets using multivariate fractional models ⋮ The density of solutions to multifractional stochastic Volterra integro-differential equations ⋮ Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients ⋮ A general class of multifractional processes and stock price informativeness ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Identification of multifractional Brownian motion
• A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
• Recent developments in fractals and related fields. Based on the international conference on fractals and related fields, Monastir, Tunisia, September 2007 held in honor of Jacques Peyrière
• Wavelet construction of generalized multifractional processes
• Ondelettes et bases hilbertiennes. (Wavelets and Hilbert bases)
• Identifying the multifractional function of a Gaussian process
• Stock market prices and long-range dependence
• A general version of the fundamental theorem of asset pricing
• Elliptic Gaussian random processes
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Arbitrage in fractional Brownian motion models
• Tolerance to arbitrage
• Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
• Tangent fields and the local structure of random fields
• Estimation of the Hurst parameter from discrete noisy data
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Multifractional processes with random exponent
• Orthonormal bases of compactly supported wavelets
• Wavelet analysis and synthesis of fractional Brownian motion
• Long-Term Memory in Stock Market Prices
• Arbitrage with Fractional Brownian Motion
• THE LOCAL STRUCTURE OF RANDOM PROCESSES
• Statistical study of the wavelet analysis of fractional Brownian motion
• A wavelet-based joint estimator of the parameters of long-range dependence
• Identification of the multiscale fractional Brownian motion with biomechanical applications
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Fractional Brownian Motions, Fractional Noises and Applications
• Identification of the Hurst index of a step fractional Brownian motion

This page was built for publication: Modelling NASDAQ series by sparse multifractional Brownian motion