Properties of fractional Brownian motions for modeling stock prices

• Main Authors: Mamat, M., Prabowo, A., Sugandha, A., Tripena, A., Dewi, W.S., Sukono, ., Bon, A.T.
• Format: Conference or Workshop Item
• Language: English
• Subjects: QA Mathematics; QA75 Electronic computers. Computer science
• Online Access: http://eprints.unisza.edu.my/4170/1/FH03-FIK-21-56565.pdf; http://eprints.unisza.edu.my/4170/

Fractional Brownian motion is a general form of Brownian motion by adding a parameter / index, namely the Hurts index. Modeling stock prices with Brownian motion is common. In this article we will discuss fractional Brown motion for modeling stock prices . Some of these properties are increments...