ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS

DOI10.1142/S021902490400258XzbMath1088.91051arXivmath/0703834OpenAlexW1977159695MaRDI QIDQ4653043

K. Ronnie Sircar, H. Vincent Poor, Erhan Bayraktar

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0703834

zbMATH Keywords

fractional Brownian motionwavelet analysislong range dependenceHigh-frequency dataheavy tailed marginalslog scale spectrumS\& P 500 index

Mathematics Subject Classification ID

Related Items (15)

Efficient hedging currency options in fractional Brownian motion model with jumps ⋮ De-noising option prices with the wavelet method ⋮ Sample paths of the solution to the fractional-colored stochastic heat equation ⋮ Transportation cost-information inequality for a stochastic heat equation driven by fractional-colored noise ⋮ On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter ⋮ Multiresolution analysis of S\&P500 time series ⋮ Emergence of turbulent epochs in oil prices ⋮ Stochastic heat equation with multiplicative fractional-colored noise ⋮ Unnamed Item ⋮ Sharp space-time regularity of the solution to stochastic heat equation driven by fractional-colored noise ⋮ Wavelet-based option pricing: an empirical study ⋮ Inefficiency in Latin-American market indices ⋮ Prediction and tracking of long-range-dependent sequences ⋮ Hitting times for the stochastic wave equation with fractional colored noise ⋮ Hurst index estimation in stochastic differential equations driven by fractional Brownian motion

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