Stochastic volatility models with volatility driven by fractional Brownian motions.
Tyrone E. DuncanJacek JakubowskiBozenna Pasik-DuncanPublished in: Commun. Inf. Syst. (2015)
Keyphrases
- garch model
- stochastic processes
- probabilistic model
- stock price
- stock market
- stock index futures
- learning algorithm
- stochastic models
- financial markets
- stochastic model
- data driven
- image sequences
- statistical models
- historical data
- fractal dimension
- model selection
- prior knowledge
- artificial neural networks
- moving objects
- video sequences
- stock trading