Mamat, M. and Prabowo, A. and Sugandha, A. and Tripena, A. and Dewi, W.S. and Sukono, . and Bon, A.T. Properties of fractional Brownian motions for modeling stock prices. In: 11th Annual International Conference on Industrial Engineering and Operations Management, 07-11 Mac 2021, Virtual, Online.
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Abstract
Fractional Brownian motion is a general form of Brownian motion by adding a parameter / index, namely the Hurts index. Modeling stock prices with Brownian motion is common. In this article we will discuss fractional Brown motion for modeling stock prices . Some of these properties are increments which are normally distributed and not mutually independent, self-similarity and longrange dependent.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA75 Electronic computers. Computer science |
| Divisions: | Faculty of Informatics & Computing |
| Depositing User: | Fatin Safura |
| Date Deposited: | 28 Dec 2021 07:48 |
| Last Modified: | 28 Dec 2021 07:48 |
| URI: | http://eprints.unisza.edu.my/id/eprint/4170 |
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