Fractal Brownian Motion Analysis Using Continuous Wavelet Transform

12th International Conference on Applied Mathematics (Aplimat 2013): Book of Abstracts 2013
Andrejs Pučkovs, Andrejs Matvejevs

In current research, Fractal Brownian motion is analyzed using Direct and Inverse Continuous Wavelet Transform, wavelet coefficients probability density function is estimated, wavelet coefficients lower and upper bounds are calculated using Mexican hat mother wavelet function. At the end estimation results are illustrated.

Keywords
Fractal Brownian process, Continuous Wavelet Transform, Wavelet Analysis, Wavelet Coefficients Probability Density function, financial time series
Hyperlink
http://evlm.stuba.sk/APLIMAT/vypisy.php

Pučkovs, A., Matvejevs, A. Fractal Brownian Motion Analysis Using Continuous Wavelet Transform. In: 12th International Conference on Applied Mathematics (Aplimat 2013): Book of Abstracts, Slovakia, Bratislava, 5-7 February, 2013. Bratislava : 2013, pp.91-91. ISBN 9788022738668.

Publication language
English (en)