Long memory and crude oil’s price predictability
- EconomicsAnn. Oper. Res.
It is shown that specific combinations are associated to persistence/antipersistence long-run behaviors, and this highlights the presence of statistical arbitrage opportunities and shows that long term memory can effectively serve as price predictor.
Complex dynamics of multi-regional economic interactions
Dynamical systems are being employed over the last decades to investigate complex behaviors in traditional fields as engineering and physics, but also in biology, medicine, economics and financial…
SHOWING 1-10 OF 15 REFERENCES
FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
The purpose of this paper is to develop a fractional white noise calculus and to apply this to markets modeled by (Wick–) Ito type of stochastic differential equations driven by fractional Brownian…
Fractional Brownian motion, random walks and binary market models
- MathematicsFinance Stochastics
A Donsker type approximation theorem is proved for the fractional Brownian motion in the case of $H>1/2.$ using this approximation to construct an elementary market model that converges weakly to a fractional analogue of the Black–Scholes model.
Stock Price Returns and the Joseph Effect: A Fractional Version of the Black-Scholes Model
- Mathematics, Economics
In mathematical finance, semimartingales are traditionally viewed as the largest class of stochastic processes which are economically reasonable models for stock price movements. This is mainly…
Arbitrage with fractional Brownian motion
In recent years fractional Brownian motion has been suggested to replace the classical Brownian motion as driving process in the modelling of many real world phenomena, including stock price…
Seminar on stochastic analysis, random fields and applications IV
A Tychastic Approach to Guaranteed Pricing and Management of Portfolios under Transaction Constraints and Generalizations of Merton's Mutual Fund Theorem in Infinite-Dimensional Financial Models.
Volatility Estimation and Option Pricing with Fractional Brownian Motion
- Mathematics, Economics
We study the estimation of volatility using the Fractional Brownian Motion (FBM) to model asset returns. Then, we price some European options using a Black-Scholes type formula derived for the FBM…
An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
The Radon-Nikodym derivative between a centred fractional Brownian motion Z and the same process with constant drift is derived by finding an integral transformation which changes Z to a process with…
The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient
Scaling behaviors in differently developed markets