The multifractional Brownian motion is a locally dependent Gaussian nonstationary process, whose flexibility in describing complex phenomena justifies its use in financial dynamics modeling. Assuming it as a model of stock indexes, we estimate the pointwise regularity function for the Dow Jones Ind. Avg., the Footsie 100 and the Nikkei 225. We also analyze the pairwise cross-correlation of the functions themselves and compare them with the pairwise cross-correlation of log variations.
Pointwise Regularity Exponents and Market Cross-Correlations / Bianchi, S.; Pantanella, A.. - In: INTERNATIONAL REVIEW OF BUSINESS RESEARCH PAPERS. - ISSN 1832-9543. - 6:2(2010), pp. 39-51.
Pointwise Regularity Exponents and Market Cross-Correlations
S. BIANCHI;
2010
Abstract
The multifractional Brownian motion is a locally dependent Gaussian nonstationary process, whose flexibility in describing complex phenomena justifies its use in financial dynamics modeling. Assuming it as a model of stock indexes, we estimate the pointwise regularity function for the Dow Jones Ind. Avg., the Footsie 100 and the Nikkei 225. We also analyze the pairwise cross-correlation of the functions themselves and compare them with the pairwise cross-correlation of log variations.| File | Dimensione | Formato | |
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