Essays about: "hurst exponent"

Found 4 essays containing the words hurst exponent.

1. 1. 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

3. 2. 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

4. 3. 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

5. 4. Evaluating a fractal features method for automatic detection of Alzheimer’s Disease in brain MRI scans : A quantitative study based on the method developed by Lahmiri and Boukadoum in 2013

   University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

   Author : Lovisa Runhem; Filip Schulze; [2015]
   Keywords : ;

   Abstract : The field of computer-aided diagnosis has recently made progress in the diagnosing of Alzheimer's disease (AD) from magnetic resonance images (MRI) of the brain. Lahmiri and Boukadoum (2013) have research this topic since 2011, and in 2013 they presented a system for automatic detection of AD based on machine learning classification. READ MORE