Properties of fractional Brownian motions for modeling stock prices

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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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

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