Multifractional processes in finance

DOI10.3233/RDA-130097MaRDI QIDQ3119626zbMATH OpenOpenAlexFDO

Authors S. Bianchi, Augusto Pianese

Publication date 12 March 2019

Published in Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/rda-130097

zbMATH Keywords

behavioral financeefficient marketsmultifractional processesstylized facts

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Recommendations

• Modelling stock price movements: multifractality or multifractionality?
• Fractional processes as models in stochastic finance
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• scientific article; zbMATH DE number 1642340
• MULTIFRACTAL FLUCTUATIONS IN FINANCE

Cited in

(13)

• Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
• A general class of multifractional processes and stock price informativeness
• Moving average multifractional processes with random exponent: lower bounds for local oscillations
• scientific article; zbMATH DE number 5713946 (Why is no real title available?)
• Fast and unbiased estimator of the time-dependent Hurst exponent
• Differential equations driven by variable order Hölder noise and the regularizing effect of delay
• Modelling stock price movements: multifractality or multifractionality?
• How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost
• Uniformly and strongly consistent estimation for the random Hurst function of a multifractional process
• A distribution-based method to gauge market liquidity through scale invariance between investment horizons
• Harmonizable multifractional stable field: sharp results on sample path behavior

This page was built for publication: Multifractional processes in finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3119626)