A general class of multifractional processes and stock price informativeness

DOI10.1016/J.CHAOS.2018.08.004zbMATH Open1416.62473arXiv1708.04217OpenAlexW2795686807MaRDI QIDQ2313541FDOQ2313541

Authors: Qidi Peng, Ran Zhao 

Publication date: 19 July 2019

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

Abstract: We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise H"older exponents (PHE) based on a new localized generalized quadratic variation approach (LGQV). By comparing our suggested approach with the other two existing benchmark estimation approaches (classic GQV and oscillation approach) through a simulation study, we show that our estimator has better performance in the case where the observed process is some unknown bivariate function of time and mBm. Such multifractional processes, whose PHEs are time-varying, can be used to model stock prices under various market conditions, that are both time-dependent and region-dependent. As an application to finance, an empirical study on modeling cross-listed stocks provides new evidence that the equity path's roughness varies via time and the stock price informativeness properties from global stock markets.

Full work available at URL: https://arxiv.org/abs/1708.04217

Recommendations

• A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• Stock prices as branching processes in random environments: estimation
• Multifractional properties of stock indices decomposed by filtering their pointwise Hölder regularity
• Stochastic process with multiplicative structure for the dynamic behavior of the financial market
• Multifractional processes in finance
• Stochastic multiplicative processes for financial markets
• Multivariate marked Poisson processes and market related multidimensional information flows

zbMATH Keywords

multifractional processes[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=pointwise+H%EF%BF%BD%EF%BF%BDlder+exponent&go=Go pointwise H��lder exponent]localized generalized quadratic variation estimationstock price informativeness

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• How rich is the class of multifractional Brownian motions?
• Fractional Brownian Motions, Fractional Noises and Applications
• Title not available (Why is that?)
• Wavelet estimator of long-range dependent processes.
• Elliptic Gaussian random processes
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• Self-regulating processes
• Modelling NASDAQ series by sparse multifractional Brownian motion
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• Periodogram-based estimators of fractal properties
• Stochastic 2-microlocal analysis
• Multifractional properties of stock indices decomposed by filtering their pointwise Hölder regularity
• Identification of multifractional Brownian motion
• On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
• Estimation of the volatility persistence in a discretely observed diffusion model
• Wavelet leaders and bootstrap for multifractal analysis of images
• Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients
• Local estimation of the Hurst index of multifractional Brownian motion by increment ratio statistic method
• Gradual multifractal reconstruction of time-series: formulation of the method and an application to the coupling between stock market indices and their Hölder exponents

Cited In (3)

• Minimal model of diffusion with time changing Hurst exponent
• ON THE RATE OF INFORMATION ABSORPTION IN THE CONDITIONAL VARIANCE OF SES DUAL LISTED STOCKS
• Multifractional properties of stock indices decomposed by filtering their pointwise Hölder regularity

This page was built for publication: A general class of multifractional processes and stock price informativeness

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2313541)