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Properties of fractional Brownian motions for modeling stock prices

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...

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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/
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spelling my-unisza-ir.41702021-12-28T07:48:43Z http://eprints.unisza.edu.my/4170/ Properties of fractional Brownian motions for modeling stock prices Mamat, M. Prabowo, A. Sugandha, A. Tripena, A. Dewi, W.S. Sukono, . Bon, A.T. QA Mathematics QA75 Electronic computers. Computer science 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 which are normally distributed and not mutually independent, self-similarity and longrange dependent. Conference or Workshop Item PeerReviewed text en http://eprints.unisza.edu.my/4170/1/FH03-FIK-21-56565.pdf Mamat, M. and Prabowo, A. and Sugandha, A. and Tripena, A. and Dewi, W.S. and Sukono, . and Bon, A.T. Properties of fractional Brownian motions for modeling stock prices. In: 11th Annual International Conference on Industrial Engineering and Operations Management, 07-11 Mac 2021, Virtual, Online.
institution Universiti Sultan Zainal Abidin
building UNISZA Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Sultan Zainal Abidin
content_source UNISZA Institutional Repository
url_provider https://eprints.unisza.edu.my/
language English
topic QA Mathematics
QA75 Electronic computers. Computer science
spellingShingle QA Mathematics
QA75 Electronic computers. Computer science
Mamat, M.
Prabowo, A.
Sugandha, A.
Tripena, A.
Dewi, W.S.
Sukono, .
Bon, A.T.
Properties of fractional Brownian motions for modeling stock prices
description 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 which are normally distributed and not mutually independent, self-similarity and longrange dependent.
format Conference or Workshop Item
author Mamat, M.
Prabowo, A.
Sugandha, A.
Tripena, A.
Dewi, W.S.
Sukono, .
Bon, A.T.
author_facet Mamat, M.
Prabowo, A.
Sugandha, A.
Tripena, A.
Dewi, W.S.
Sukono, .
Bon, A.T.
author_sort Mamat, M.
title Properties of fractional Brownian motions for modeling stock prices
title_short Properties of fractional Brownian motions for modeling stock prices
title_full Properties of fractional Brownian motions for modeling stock prices
title_fullStr Properties of fractional Brownian motions for modeling stock prices
title_full_unstemmed Properties of fractional Brownian motions for modeling stock prices
title_sort properties of fractional brownian motions for modeling stock prices
url http://eprints.unisza.edu.my/4170/1/FH03-FIK-21-56565.pdf
http://eprints.unisza.edu.my/4170/
_version_ 1720441322876174336
score 13.211869

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