Forecasting of time data with using fractional Brownian motion

DOI10.1016/J.CHAOS.2017.01.013zbMath1380.60044arXiv1608.06736OpenAlexW2517469916MaRDI QIDQ1693943

Valeria Bondarenko, Victor Bondarenko, Kyryl Truskovskyi

Publication date: 1 February 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06736

zbMATH Keywords

fractional Brownian motionstochastic modeloptimal forecast

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84)

Related Items (1)

Computational technique for simulating variable-order fractional Heston model with application in US stock market

Uses Software

• longmemo
• dvfBm
• SimEstFBM

Cites Work

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