11th Annual International Conference on Industrial Engineering and Operations Management

Properties of Fractional Brownian Motions for Modeling Stock Prices

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Track: Operations Management

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 which are normally distributed and not mutually independent, self-similarity and long-range dependent.

Published in: 11th Annual International Conference on Industrial Engineering and Operations Management, Singapore, Singapore

Publisher: IEOM Society International
Date of Conference: March 7-11, 2021

ISBN: 978-1-7923-6124-1
ISSN/E-ISSN: 2169-8767