- fractional Brownian motion
- A biased random walk. Unlike Standard Brownian Motion, the odds are biased in one direction or the other. It is like playing with loaded dice. Bloomberg Financial Dictionary
Financial and business terms. 2012.
fractional Brownian motion
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Fractional Brownian motion — A normalized fractional Brownian motion (denoted fBm) B^H(t) on [0,T] , Tin mathbb{R} is a continuous time Gaussian process starting at zero, with mean zero, and having the following correlation function::E [B^H(t) B^H(s)] =frac{1}{2}… … Wikipedia
Geometric Brownian motion — A geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion, or a Wiener process. It is applicable to… … Wikipedia
fractional noise — A noise which is not completely independent of previous values. See fractional Brownian motion, 1/f noise, white noise. Bloomberg Financial Dictionary … Financial and business terms
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R/S analysis — also: rescaled range analysis The analysis developed by H.E. Hurst to determine long memory effects and fractional Brownian motion. Rescaled range analysis measures how the distance covered by a particle increases as we look at longer and longer… … Financial and business terms
rescaled range analysis — R/S analysis The analysis developed by H.E. Hurst to determine long memory effects and fractional Brownian motion. Rescaled range analysis measures how the distance covered by a particle increases as we look at longer and longer time scales. For… … Financial and business terms
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Outline of probability — Probability is the likelihood or chance that something is the case or will happen. Probability theory is used extensively in statistics, mathematics, science and philosophy to draw conclusions about the likelihood of potential events and the… … Wikipedia
Integral — This article is about the concept of integrals in calculus. For the set of numbers, see integer. For other uses, see Integral (disambiguation). A definite integral of a function can be represented as the signed area of the region bounded by its… … Wikipedia
