Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
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Publication:5397464
DOI10.1080/14697688.2011.594080zbMATH Open1281.91083OpenAlexW2145632149MaRDI QIDQ5397464FDOQ5397464
Authors: S. Bianchi, Alexandre Pantanella, Augusto Pianese 
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.594080
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Cited In (30)
- Differential equations driven by variable order Hölder noise and the regularizing effect of delay
- Minimal model of diffusion with time changing Hurst exponent
- Fuzzy clustering of time series with time-varying memory
- Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients
- Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning
- Self-exciting multifractional processes
- Moving average multifractional processes with random exponent: lower bounds for local oscillations
- Linear multifractional stable motion: fine path properties
- A distribution-based method to gauge market liquidity through scale invariance between investment horizons
- On the carrying dimension of occupation measures for self-affine random fields
- Girsanov theorem for multifractional Brownian processes
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
- Exploring the financial risk of a temperature index: a fractional integrated approach
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- Wavelet analysis of a multifractional process in an arbitrary Wiener chaos
- Statistical tests of distributional scaling properties for financial return series
- Stochastic volatility and multifractional Brownian motion
- Explicit and combined estimators for parameters of stable distributions
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Multifractional properties of stock indices decomposed by filtering their pointwise Hölder regularity
- Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters
- Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
- Goodness of fit assessment for a fractal model of stock markets
- Modelling stock price movements: multifractality or multifractionality?
- Modelling NASDAQ series by sparse multifractional Brownian motion
- Uniformly and strongly consistent estimation for the random Hurst function of a multifractional process
- Fast and unbiased estimator of the time-dependent Hurst exponent
- Behaviour of linear multifractional stable motion: membership of a critical Hölder space
- A general class of multifractional processes and stock price informativeness
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