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On the Relevance of Fractional Gaussian Processes for Analysing Financial Markets
Växjö University, Faculty of Mathematics/Science/Technology, School of Mathematics and Systems Engineering.
2007 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2007. , p. 34
Series
Reports from MSI, ISSN 1650-2647 ; 07150
Keywords [en]
Fractional Brownian motion, Fractional Gaussian noise, semmimartingale, volatility.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:vxu:diva-1762OAI: oai:DiVA.org:vxu-1762DiVA, id: diva2:205612
Uppsok
fysik/kemi/matematik
Supervisors
Examiners
Available from: 2007-12-14 Created: 2007-12-14 Last updated: 2010-03-10Bibliographically approved

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fulltext(251 kB)710 downloads
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School of Mathematics and Systems Engineering
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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • 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