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: | , |
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| Format: | Journal |
| Published: |
2018
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| Subjects: | |
| 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 |