A fractional calculus interpretation of the fractional volatility model

被引：54

作者：

Vilela Mendes, R. ^{[1
,2
]}

机构：

[1] Univ Lisbon, Ctr Matemat & Aplicacoes Fundamentais, P-1649003 Lisbon, Portugal

[2] Univ Tecn Lisboa, P-1100 Lisbon, Portugal

来源：

NONLINEAR DYNAMICS | 2009年 / 55卷 / 04期

关键词：

Fractional calculus; Dynamics of markets; Stochastic models;

D O I：

10.1007/s11071-008-9372-0

中图分类号：

TH [机械、仪表工业];

学科分类号：

0802 ;

摘要：

Based on criteria of mathematical simplicity and consistency with empirical market data, a model with volatility driven by fractional noise has been constructed which provides a fairly accurate mathematical parametrization of the data. Here, the model is formulated in terms of a fractional integration of stochastic processes.

引用

页码：395 / 399

页数：5

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