Properties of fractional Brownian motions for modeling stock prices

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...

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Bibliographic Details

Main Authors:	Mamat, M., Prabowo, A., Sugandha, A., Tripena, A., Dewi, W.S., Sukono, ., Bon, A.T.
Format:	Conference or Workshop Item
Language:	en
Subjects:	QA Mathematics QA75 Electronic computers. Computer science
Online Access:	http://eprints.unisza.edu.my/4170/1/FH03-FIK-21-56565.pdf http://eprints.unisza.edu.my/4170/
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