Hurst exponents and delampertized fractional Brownian motions

DOI10.1142/S0219024919500249MaRDI QIDQ5234012zbMATH OpenOpenAlexFDO

Authors Matthieu Garcin

Publication date 9 September 2019

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

Full work available at URL https://doi.org/10.1142/s0219024919500249

zbMATH Keywords

Ornstein-Uhlenbeck processfractional Brownian motionHurst exponentstationary processLamperti transformforeign exchange rates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

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Cites work

• Chaotic analysis of the foreign exchange rates
• Dynamical pricing of weather derivatives
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• Estimation and pricing under long-memory stochastic volatility
• Estimation of Hurst exponent revisited
• Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
• Fast and unbiased estimator of the time-dependent Hurst exponent
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional {O}rnstein-{U}hlenbeck processes
• Identification of multifractional Brownian motion
• Identification of the multiscale fractional Brownian motion with biomechanical applications
• Long range dependence in financial markets
• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Semi-Stable Stochastic Processes
• Testing self-similarity through Lamperti transformations
• Wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Cited in

(9)

• Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
• Forecasting with fractional Brownian motion: a financial perspective
• Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
• Baxter estimates of the Hurst parameter of fractional Brownian motion
• Rough volatility via the Lamperti transform
• Long versus short time scales: the rough dilemma and beyond
• A statistical test of market efficiency based on information theory

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