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On the Relevance of Fractional Gaussian Processes for Analysing Financial Markets
Växjö universitet, Fakulteten för matematik/naturvetenskap/teknik, Matematiska och systemtekniska institutionen.
2007 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Abstract [en]

In recent years, the field of Fractional Brownian motion, Fractional Gaussian noise and long-range dependent processes has gained growing interest. Fractional Brownian motion is of great interest for example in telecommunications, hydrology and the generation of artificial landscapes. In fact, Fractional Brownian motion is a basic continuous process through which we show that it is neither a semimartingale nor a Markov process. In this work, we will focus on the path properties of Fractional Brownian motion and will try to check the absence of the property of a semimartingale. The concept of volatility will be dealt with in this work as a phenomenon in finance. Moreover, some statistical method like R/S analysis will be presented. By using these statistical tools we examine the volatility of shares and we demonstrate empirically that there are in fact shares which exhibit a fractal structure different from that of Brownian motion.

sted, utgiver, år, opplag, sider
2007. , s. 34
Serie
Rapporter från MSI, ISSN 1650-2647 ; 07150
Emneord [en]
Fractional Brownian motion, Fractional Gaussian noise, semmimartingale, volatility.
HSV kategori
Identifikatorer
URN: urn:nbn:se:vxu:diva-1762OAI: oai:DiVA.org:vxu-1762DiVA, id: diva2:205612
Uppsök
fysik/kemi/matematik
Veileder
Examiner
Tilgjengelig fra: 2007-12-14 Laget: 2007-12-14 Sist oppdatert: 2010-03-10bibliografisk kontrollert

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