Goodness of fit assessment for a fractal model of stock markets

DOI10.1016/J.CHAOS.2014.05.005zbMATH Open1349.62578OpenAlexW2007026123MaRDI QIDQ340460FDOQ340460

Massimiliano Frezza

Publication date: 14 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.chaos.2014.05.005

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zbMATH Keywords

multifractional Brownian motionstochastic model of stock dynamicsU.S. Dow Jones index

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (4)

• Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients
• Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
• Modelling stock price movements: multifractality or multifractionality?
• Fast and unbiased estimator of the time-dependent Hurst exponent

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