ABOUT ONE APPROACH FOR FINANCIAL TIME SERIES HURST INDEX COMPUTATION ANDTHEIR APPROXIMATION USING FRACTAL BROWNIAN MOTION

Chichaev I.A, Popov V.Y

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Distribution ofstatistical data sets like financial time series is usually unknown, so it seems to be appropriate and useful to approximate them with some well known process. In many situations role of such approximating process can be played by fractal brownian motion (FBM). This is parametrical family of distributions, that’s why we have to find appropriateapproximate process.So using C++ programming language and Matlab system new computer application was developed for data Hurst index computing in real-time,this article consists results of its tests on model and real data. Moreover, process of numerical modeling ofFBM trajectories (with given Hurst index) is described.This process also was implemented as a computer application.

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Чичаев И.А, Попов В.Ю ОБ ОДНОМ ПОДХОДЕ К ВЫЧИСЛЕНИЮ ИНДЕКСА ХЕРСТА ФИНАНСОВЫХ ВРЕМЕННЫХ РЯДОВ И ИХ АППРОКСИМАЦИИ ФРАКТАЛЬНЫМ БРОУНОВСКИМ ДВИЖЕНИЕМ // Научное обозрение. Физико-математические науки . 2020. № 1. С. 60-60;
URL: https://physics-mathematics.ru/en/article/view?id=85 (дата обращения: 24.06.2026).