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Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market
Linnaeus University, Faculty of Technology, Department of Mathematics.
2018 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. Since logarithmic-return densities of GFBM stock prices are Gaussian and empirical stock logarithmic-returns typically are far from Gaussian, a GFBM model may not be the most suitable stock price model.

Place, publisher, year, edition, pages
2018.
Keywords [en]
geometric fractional Brownian motion, fractional Brownian motion, fractional Gaussian noise, Hurst exponent
National Category
Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-78375OAI: oai:DiVA.org:lnu-78375DiVA, id: diva2:1257290
Educational program
Applied Mahtematics Programme, 180 credits
Presentation
2018-10-17, D0043, Linnaeus University, P G Vejdes väg, Växjö, 08:30 (English)
Supervisors
Examiners
Available from: 2018-10-19 Created: 2018-10-19 Last updated: 2018-10-19Bibliographically approved

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf