Abstract
Widespread use of information and communication technologies has caused that the decisions made in financial markets by investors are influenced by the use of techniques like fundamental analysis and technical analysis, and the methods used are from all branches of mathematical sciences. Recently the fractional Brownian motion has found its way to many applications. In this paper fractional Brownian motion is studied in connection with financial time series. We analyze open, high, low and close prices as a selfsimilar processes that are strongly correlated. We study their basic properties explained in Hurst exponent exponent, and we use them as a measure of predictability of time series.
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Bohdalová, M., Greguš, M. (2017). Fractional Brownian Motion in OHLC Crude Oil Prices. In: Rojas, I., Pomares, H., Valenzuela, O. (eds) Advances in Time Series Analysis and Forecasting. ITISE 2016. Contributions to Statistics. Springer, Cham. https://doi.org/10.1007/978-3-319-55789-2_6
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DOI: https://doi.org/10.1007/978-3-319-55789-2_6
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