Modelling stock price movements: multifractality or multifractionality?

DOI10.1080/14697680600989618zbMath1142.91713OpenAlexW2063137026WikidataQ126235626 ScholiaQ126235626MaRDI QIDQ5309005

Sergio Bianchi, Augusto Pianese

Publication date: 9 October 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600989618

zbMATH Keywords

stock pricesmultifractionalityMultifractalsMMAR

Mathematics Subject Classification ID

Related Items (8)

MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY ⋮ Statistical tests of distributional scaling properties for financial return series ⋮ Goodness of fit assessment for a fractal model of stock markets ⋮ Fuzzy clustering of time series with time-varying memory ⋮ An accurate algorithm to calculate the Hurst exponent of self-similar processes ⋮ Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity ⋮ White noise-based stochastic calculus with respect to multifractional Brownian motion ⋮ An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion

Cites Work

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• MULTIFRACTAL FLUCTUATIONS IN FINANCE
• PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
• Fractional Brownian Motions, Fractional Noises and Applications
• The generalized multifractional Brownian motion
• Modelling financial time series using multifractal random walks
• Forecasting multifractal volatility

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