Fractal Features of Fractional Brownian Motion and Their Application in Economics

被引：2
|
作者：
Cheng, Qing [1 ]
Jiao, Jinpu [2 ]
机构：
[1] China Agr Univ, Coll Econ & Management, Beijing 100083, Peoples R China
[2] Shanghai Gold Exchange, Shanghai 200001, Peoples R China
来源：
INTERNATIONAL JOURNAL OF HEAT AND TECHNOLOGY | 2019年 / 37卷 / 03期
关键词：
fractional Brownian motion (FBM); fractal features; rescaled range (R/S) analysis; gold price sequence; SCALE-INVARIANCE; SANDSTONE PORES; DIMENSION; NOISES;
D O I：
10.18280/ijht.370324
中图分类号：
O414.1 [热力学];
学科分类号：
摘要：
The physical phenomena with fractal features cannot be described by the standard Brownian motion (BM), but by the improved method of fractional Brownian motion (FBM). This paper explores the fractal features of fractional Brownian motion (FBM) and then applies the FBM to interpret the fractal features and fractal scales of gold price fluctuations in China. The results show that the gold price fluctuations in China have obvious, scale-invariant fractal features. Hence, the Chinese gold market is advised to introduce fractal risk management to control the risks. This research widens the applicable scope of the FBM and sheds new light on financial market analysis.
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页码：863 / 868
页数：6
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