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Showing 1 to 4 of 4 for “"Hurst Index"”.
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Fractional stochastic volatility models: approximation, calibration and hedging
… by a fractional Ornstein-Uhlenbeck process with Hurst Index H greater than 1/2. We need to notice that perfect hedging cannot be achieved in non-Markovian fractional volatility framework, and thus we can only study imperfect delta-hedging strategy. We first proved the existence of this strategy …
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An Exponential Formula for Random Variables Generated by Multiple Brownian Motions
… Lévy processes and fractional Brownian with Hurst index greater than 1/2.The relationship between the conditional expectation of a random variable (or fractional conditional expectation in the case of fractional Brownian motion)and that variable's Dyson-series like representation is the …
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Aukšto dažnio duomenų agregavimas ir vertės pokyčio rizika /
… chapter of the thesis the empirical study about Hurst index intraday value dependence on data aggregation taking different foreign currencies’ absolute returns is presented.
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Cryptomarket analysis: optimal liquidation and market efficiency study
… a través de métodos que incluyen el índice de Hurst, la entropía de Shannon y pruebas de autocorrelación. El análisis concluye que los mercados de criptomonedas no se adhieren uniformemente a los principios de la WEMH. Mientras que ciertos períodos y frecuencias muestran eficiencia, otros …