| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1893340 | Chaos, Solitons & Fractals | 2009 | 7 Pages |
Abstract
In this paper, by means of fractional differential-integral technique we give a new whitening filter formula for fractional Brownian motion defined by Mandelbrot and van Ness [Mandelbrot BB, van Ness JW. SIAM Rev 1968;10(4):422]. This new formula has potential use in time series analysis and in detecting signals as Barton and Vincent Poor [Barton RJ, Vincent Poor H. IEEE Trans Inform Theory 1988;34(5):943] have shown. Another potential application of it is behavioral finance, where the arbitrage opportunities that come from the reversal effect of stock returns, can be eliminated by such a formula.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Xiao-Tian Wang, Min Wu,