MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY
From MaRDI portal
Publication:3168857
DOI10.1142/S0219024908004932zbMath1210.91129MaRDI QIDQ3168857
Augusto Pianese, Sergio Bianchi
Publication date: 27 April 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024908004932
60G22: Fractional processes, including fractional Brownian motion
91B84: Economic time series analysis
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
Fast and unbiased estimator of the time-dependent Hurst exponent, Behaviour of linear multifractional stable motion: membership of a critical Hölder space, Wavelet analysis of a multifractional process in an arbitrary Wiener chaos, Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity, 2-microlocal analysis of martingales and stochastic integrals, Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets, Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes, Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process, Linear multifractional stable motion: fine path properties, A general class of multifractional processes and stock price informativeness, Stochastic 2-microlocal analysis, Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity, Stochastic Volatility and Multifractional Brownian Motion
Cites Work
- Unnamed Item
- Unnamed Item
- Approach to an irregular time series on the basis of the fractal theory
- Stock market prices and long-range dependence
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Long-range correlations and nonstationarity in the Brazilian stock market
- Averaged periodogram estimation of long memory
- On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
- FRACTAL APPROACHES IN SIGNAL PROCESSING
- An Estimate of the Fractal Index Using Multiscale Aggregates
- Long-Term Memory in Stock Market Prices
- MULTIFRACTAL FLUCTUATIONS IN FINANCE
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- Modelling stock price movements: multifractality or multifractionality?
- Fractional Brownian Motions, Fractional Noises and Applications
- Measuring the Complexity of Currency Markets by Fractal Dimension Analysis
- The generalized multifractional Brownian motion
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
