A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY

DOI10.1142/S0218348X04002586MaRDI QIDQ2937149zbMATH OpenOpenAlexFDO

Authors S. Bianchi

Publication date 8 January 2015

Published in Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218348x04002586

zbMATH Keywords

distancefractional Brownian motionKolmogorov-Smirnov testself-similarity

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Fractals and scaling in finance. Discontinuity, concentration, risk
• Gaussian self-affinity and fractals. Globality, the earth, 1/f noise, and R/S. Selecta (old or new) volume H. With contributions by F. J. Damerau, M. Frame, K. McCamy, J. W. Van Ness, J. R. Wallis, and others. Selected works of Benoit B. Mandelbrot
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Cited in

(11)

• A test for the distributional comparison of simulated and historical data
• A general panel break test based on the self-normalization method
• Testing for the presence of self-similarity of Gaussian series having stationary increments
• Testing self-similarity through Lamperti transformations
• A new estimator of the self-similarity exponent through the empirical likelihood ratio test
• scientific article; zbMATH DE number 2196057 (Why is no real title available?)
• Rough volatility via the Lamperti transform
• A distribution-based method to gauge market liquidity through scale invariance between investment horizons
• An information theory approach to stock market liquidity
• Kolmogorov-Smirnov estimation of self-similarity in long-range dependent fractional processes
• Roughness in VIX index and in realized volatility: rolling window estimation by randomized Kolmogorov-Smirnov distribution

Describes a project that uses

Uses Software

• SimEstFBM

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