![](/images/graphics-bg.png)
Fractional Black-Scholes Model and Technical Analysis of Stock Price
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-12-11
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
In the stock market, some popular technical analysis indicators (e.g., Bollinger bands, RSI, ROC, etc.) are widely used to forecast the direction of prices.
The validity is shown by observed relative frequency of certain statistics, using the daily (hourly, weekly, etc.) stock prices as samples.
However, those samples are not independent.
In earlier research, the stationary property and the law of large numbers related to those observations under Black-Scholes stock price model and stochastic volatility model have been discussed.
Since the fitness of both Black-Scholes model and short-range dependent process has been questioned, we extend the above results to fractional Black-Scholes model with Hurst parameter H>1/2, under which the stock returns follow a kind of long-range dependent process.
We also obtain the rate of convergence.
American Psychological Association (APA)
Xu, Song& Yang, Yujiao. 2013. Fractional Black-Scholes Model and Technical Analysis of Stock Price. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-486685
Modern Language Association (MLA)
Xu, Song& Yang, Yujiao. Fractional Black-Scholes Model and Technical Analysis of Stock Price. Journal of Applied Mathematics No. 2013 (2013), pp.1-7.
https://search.emarefa.net/detail/BIM-486685
American Medical Association (AMA)
Xu, Song& Yang, Yujiao. Fractional Black-Scholes Model and Technical Analysis of Stock Price. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-7.
https://search.emarefa.net/detail/BIM-486685
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-486685