Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method

Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method

© 2016 by the Mathematical Association of Thailand. All rights reserved. A Bayesian method is proposed for the parameter identification of a stock market dynamics which is modeled by a Stochastic Differential Equation (SDE) driven by fractional Brownian motion (fBm). The formulation for the identifi...

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Main Authors: N. Harnpornchai, K. Autchariyapanitkul
Format: Journal
Published: 2018
Subjects:
Mathematics
Online Access:https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008312164&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55976
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-559762018-09-05T03:06:58Z Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method N. Harnpornchai K. Autchariyapanitkul Mathematics © 2016 by the Mathematical Association of Thailand. All rights reserved. A Bayesian method is proposed for the parameter identification of a stock market dynamics which is modeled by a Stochastic Differential Equation (SDE) driven by fractional Brownian motion (fBm). The formulation for the identification is based on the Wick-product solution of the SDE driven by an fBm. The determination of the solution is carried out using an independence Metropolis Hastings algorithm. The historical record of SET index is employed for the purpose of method demonstration. For the SET index example, the estimate of the Hurst exponent is approximately 0.5. Consequently, the market is considered efficient. 2018-09-05T03:06:58Z 2018-09-05T03:06:58Z 2016-01-01 Journal 16860209 2-s2.0-85008312164 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008312164&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55976
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Mathematics
spellingShingle Mathematics
N. Harnpornchai
K. Autchariyapanitkul
Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method
description © 2016 by the Mathematical Association of Thailand. All rights reserved. A Bayesian method is proposed for the parameter identification of a stock market dynamics which is modeled by a Stochastic Differential Equation (SDE) driven by fractional Brownian motion (fBm). The formulation for the identification is based on the Wick-product solution of the SDE driven by an fBm. The determination of the solution is carried out using an independence Metropolis Hastings algorithm. The historical record of SET index is employed for the purpose of method demonstration. For the SET index example, the estimate of the Hurst exponent is approximately 0.5. Consequently, the market is considered efficient.
format Journal
author N. Harnpornchai
K. Autchariyapanitkul
author_facet N. Harnpornchai
K. Autchariyapanitkul
author_sort N. Harnpornchai
title Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method
title_short Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method
title_full Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method
title_fullStr Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method
title_full_unstemmed Modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: A Bayesian method
title_sort modeling stock market dynamics with stochastic differential equation driven by fractional brownian motion: a bayesian method
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85008312164&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/55976
_version_ 1681424605768581120

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