Essays about: "Hurst"

Showing result 1 - 5 of 15 essays containing the word Hurst.

1. 1. Financial Modelling Using Fractional Processes And The Wiener Chaos Expansion

   University essay from KTH/Matematik (Avd.)

   Author : Olof Hummelgren; [2022]
   Keywords : fractional Brownian motion; fBM; applied mathematics; Wiener chaos expansion; Wick product; Hurst parameter; fraktionell Brownsk rörelse; tillämpad matematik; Wiener kaosexpansion; Wickprodukt; Hurstparameter;

   Abstract : The aim of this thesis is to simulate stochastic models that are driven by a fractional Brownian motion process and to apply these methods to financial applications related to yield rate and asset price modelling. Several rough volatility processes are used to model the asset price and yield dynamics. READ MORE

3. 2. Investigating the Statistical Properties of the Hurst Exponent Estimator of Rough Volatility Model

   University essay from Göteborgs universitet/Graduate School

   Author : Saeedeh Ostovari; [2021-06-30]
   Keywords : fractional Brownian motion; rough stochastic volatility models; circulant embedding method; fractionally integrated process; Realized volatility;

   Abstract : The aim of this thesis is to provide a characterization of the statistical properties of estimator of the Hurst parameter of the rough stochastic volatility model following fractional Brownian motion with Hurst index H. For this purpose, we perform a simulation experiment for fractional Brownian motion based on the circulant embedding method. READ MORE

4. 3. The Susceptibility of the Circumpolar North to Zombie Wildfire : An Exploratory Case Study of Sweden

   University essay from Södertörns högskola/Miljövetenskap

   Author : Stephanie Louise Hurst; [2021]
   Keywords : Wildfire; zombie fire; overwintering; holdover; carbon cycle; climate change; Circumpolar North; Sweden; Skogsbrand; zombiebrand; övervintrande; kolcykel; klimatförändring; Cirkumpolär Norr; Sverige;

   Abstract : Climate change is warming the North and exposing its immense carbon stores not only to wildfire disturbances, but overwintering, or zombie, fire. These remnants of summer fires can spend months smouldering under the surface, hidden under the protection of layers of snow, burning through immense amounts of carbon, which is then released into the atmosphere, further exacerbating climate change. READ MORE

5. 4. Market efficiency and index fund flow: An empirical study of the relationship between passive investment and broad-market efficiency

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Larsson; Jacob Wergeland; [2020-07-08]
   Keywords : market efficiency; Hurst exponent; mutual fund flow; passive investments;

   Abstract : An observable rise in the popularity of index funds have caused the index funds to, in 2017, capture 20% of total fund assets globally. A cornerstone of such passive investment is a belief in an efficiently priced security market. This paper aims to relate index fund flows with market efficiency during the period 2000-2019. READ MORE

6. 5. Stock-Price Modeling by the Geometric Fractional Brownian Motion: A View towards the Chinese Financial Market

   University essay from Linnéuniversitetet/Institutionen för matematik (MA)

   Author : Zijie Feng; [2018]
   Keywords : geometric fractional Brownian motion; fractional Brownian motion; fractional Gaussian noise; Hurst exponent;

   Abstract : 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. READ MORE