The multifractional Brownian motion is a locally dependent Gaussian nonstationary process, whose flexibility in describing complex phenomena justifies its use in financial dynamics modeling. Assuming it as a model of stock indexes, we estimate the pointwise regularity function for the Dow Jones Ind. Avg., the Footsie 100 and the Nikkei 225. We also analyze the pairwise cross-correlation of the functions themselves and compare them with the pairwise cross-correlation of log variations.

Pointwise Regularity Exponents and Market Cross-Correlations

BIANCHI, Sergio;PANTANELLA, ALEXANDRE
2010-01-01

Abstract

The multifractional Brownian motion is a locally dependent Gaussian nonstationary process, whose flexibility in describing complex phenomena justifies its use in financial dynamics modeling. Assuming it as a model of stock indexes, we estimate the pointwise regularity function for the Dow Jones Ind. Avg., the Footsie 100 and the Nikkei 225. We also analyze the pairwise cross-correlation of the functions themselves and compare them with the pairwise cross-correlation of log variations.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11580/7780
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