小波分析在股票有偏随机游动中的应用

Estimation of the time-varying Hurst index by wavelet transformation for the stock biased stochastic motion

在有偏随机过程中引入时变指数概念和具有局部自相似性的数学模型。借助小波基固有的尺度特性很适合于分析局部自然相似性这一特点,给出Hurst指数的小波估算公式及算法,并用仿真结果加以验证。

The concept of timevarying Hurst index and GFBM model are introduced in stock biased stochastic process.The inherent scaling property of wavelet is well suited for analyzing locally selfsimilar process.The estimation formula and algorithm of Hurst index are proposed based on wavelet analysis of samples data and simulation result indicates effectiveness of estimation method.