Results 101 to 110 of about 7,656 (241)

Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index

The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence.
Dominique, C-René, Rivera-Solis, Luis Eduardo   +1 more
core  

Fractional geometric Brownian motion

, 2018
The subject of this thesis is to study the geometric fracional Brownian motion. To do this, the necessary theory is presented. The first chapter summarizes the basic theory of stochastic processes. The second chapter deals with fractional Brownian motion.
Pacák, Daniel
core  

Testing for Rough Volatility When Prices Are Purely Discontinuous

Journal of Time Series Analysis, EarlyView.
ABSTRACT We consider the problem of nonparametric testing for rough volatility, using high‐frequency data with a fixed time span, in a setting where the price is purely discontinuous. More specifically, we analyze the asymptotic properties of a test we developed in previous work in a pure‐jump setting.
Carsten H. Chong, Viktor Todorov
wiley   +1 more source

Two-dimensional fractional brownian motion

, 2016
Educação Superior::Ciências Exatas e da Terra::MatemáticaEnsino Médio::MatemáticaTwo methods for generating a fractional Brownian motion to simulate a natural surface are demonstrated here.
Maeder, Roman, Maeder, Roman E.
core   +1 more source

Serotonergic Axons as Fractional Brownian Motion Paths: Insights Into the Self-Organization of Regional Densities. [PDF]

Front Comput Neurosci, 2020
Janušonis S, Detering N, Metzler R, Vojta T.   +3 more
europepmc   +1 more source

The Confidence Limits of a Geometric Brownian Motion

This paper investigates whether the assumption of Brownian motion often used to describe commodity price movements is satisfied. Using historical data from 17 commodity futures contracts specific tests of fractional and ordinary Brownian motion are ...
Power, Gabriel J., Turvey, Calum G.
core  

Price modelling under generalized fractional Brownian motion

, 2023
The Generalized fractional Brownian motion (gfBm) is a stochastic process that acts as a generalization for both fractional, sub-fractional, and standard Brownian motion.
Araneda, Axel A.
core  

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Optimal Portfolio Choice With Cross‐Impact Propagators

Mathematical Finance, EarlyView.
ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber, Eyal Neuman, Sturmius Tuschmann   +2 more
wiley   +1 more source

Two-dimensional fractional brownian motion

, 2011
Educação Superior::Ciências Exatas e da Terra::MatemáticaEnsino Médio::MatemáticaTwo methods for generating a fractional Brownian motion to simulate a natural surface are demonstrated here.
Maeder, Roman E.
core   +1 more source