Application of the Fractal Brownian Motion to the Athens Stock Exchange
John Leventides,
Evangelos Melas,
Costas Poulios
et al.
Abstract:The Athens Stock Exchange (ASE) is a dynamic financial market with complex interactions and inherent volatility. Traditional models often fall short in capturing the intricate dependencies and long memory effects observed in real-world financial data. In this study, we explore the application of fractional Brownian motion (fBm) to model stock price dynamics within the ASE, specifically utilizing the Athens General Composite (ATG) index. The ATG is considered a key barometer of the overall health of the Greek s… Show more
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