MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY

DOI10.1142/S0219024908004932zbMath1210.91129OpenAlexW2044787776MaRDI 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

zbMATH Keywords

multifractional Brownian motionstock price processpointwise Hölder exponent estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (13)

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 ⋮ Stochastic Volatility and Multifractional Brownian Motion ⋮ Stochastic 2-microlocal analysis ⋮ Fast and unbiased estimator of the time-dependent Hurst exponent ⋮ Behaviour of linear multifractional stable motion: membership of a critical Hölder space ⋮ 2-microlocal analysis of martingales and stochastic integrals ⋮ Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity ⋮ Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity ⋮ Linear multifractional stable motion: fine path properties ⋮ Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes ⋮ Wavelet analysis of a multifractional process in an arbitrary Wiener chaos ⋮ A general class of multifractional processes and stock price informativeness

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