Essays about: "geometric fractional Brownian motion"

Found 1 essay containing the words geometric fractional Brownian motion.

  1. 1. 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