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Showing 1 to 11 of 11 for “"Hurst parameter"”.
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Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
… model proposed by El Euch et al. (2019), the Hurst parameter governs the roughness of the volatility process. This dissertation explores the different calibration methods used to obtain an estimate for the Hurst parameter, under the scope of the rough Heston model. Three different calibration …
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On Self-Similar Gaussian Processes
… of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some applications of this decomposition are discussed. In the second part we establish a …
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Estimation of LRD present in H.264 video traces using wavelet analysis and proving the paramount of H.264 using OPF technique in wi-fi environment.
… the self-similarity by using the variable called Hurst Parameter. Hurst Parameter tells the researcher about how a data can behave inside the transmitted network. This Hurst Parameter should be calculated for a more reliable transmission in the wireless network. The second part of the research …
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Detection, identification and localization of R/C electronic devices through their unintended emissions
… devices in a realistic environment. First, a Hurst parameter based detection method for super-regenerative receivers (SRR) has been used for detection. Hurst parameter based detection method exploits a self-similarity property of the SRR receiver emissions to distinguish it from background …
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STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION AND THEIR GENERALIZATIONS
… driven by a fractional Brownian motion with Hurst parameter $H>1/2$. We prove an existence and uniqueness result of the solution to the stochastic differential equation. We investigate the dependence of the solution on the initial condition and the existence of finite moments of the solution. …
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Renegotiation based dynamic bandwidth allocation for selfsimilar VBR traffic
… to estimate selfsimilarity level (represented by Hurst parameter) of a VBR traffic trace are empirically investigated, and criteria to select measurement parameters for online resource management are developed. It is shown that wavelet analysis based methods are the strongest tools in estimation …
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Foreign portfolio equity flows in selected Sub-Saharan Africa Countries: the underlying process, impact on stock market capitalisation, and policy options
… Fractal analysis is employed to estimate the Hurst parameter, a measure of the underlying process. This is aided by fractal signal classification, adopted from electronic and communication engineering and physiology, a novel approach in the analysis of capital flows, to avoid misinterpreting …
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Forecasting Highly-Aggregate Internet Time Series Using Wavelet Techniques
… traces. Wavelet estimation of the Hurst-parameter is shown to outperform estimation by another common method (Sample-Variances). The First Differences method of detrending proved problematic to this analysis and is shown to decorrelate AR(1) processes where 0.65< phi1 <1.35 and …
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Some application of Malliavin calculus to SPDE and convergence of densities
… to time, a fractional Brownian motion with Hurst parameter H<1/2. To establish such a formula, we introduce and study a nonlinear stochastic integral of the Gaussian noise. The existence of the Feynman-Kac integral then follows from the exponential integrability of this nonlinear stochastic …
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Rough volatility models
… motion (fBM) with scaling in the rough regime of Hurst parameter H < 1/2. A major appeal of such models lies in their ability to parsimoniously recover key stylized facts of market IV surfaces such as the exploding power-law behaviour of the ATM volatility skew near zero, a crucial feature …
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FRACTAL BASED FRAMEWORK FOR TIME SERIES VOLATILITY PREDICTION
… market environment. Fractal mathematics with the Hurst exponent close to zero reflecting rough market conditions and fuzzy set theory are combined with jumps, representing sudden market changes to capture more realistic asset price movements. The gap between complex stochastic equations and …