Pointwise Regularity Exponents and Market Cross-Correlations

INTERNATIONAL REVIEW OF BUSINESS RESEARCH PAPERS, Vol. 6, No. 2, pp. 39-51

13 Pages Posted: 15 Jul 2011

Date Written: March 31, 2010

Abstract

The multifractional Brownian motion is a locally dependent Gaussian nonstationary process, whose flexibility in describing complex phenomena justifies its use in financial dynamics modeling. Assuming it as a model of stock indexes, we estimate the pointwise regularity function for the Dow Jones Ind. Avg., the Footsie 100 and the Nikkei 225. We also analyze the pairwise cross-correlation of the functions themselves and compare them with the pairwise cross-correlation of log variations.

Keywords: Multifractional Brownian Motion, Pointwise Regularity, Cross-Correlation

JEL Classification: C13, C15, C22, G52

Suggested Citation

Bianchi, Sergio and Pantanella, Alexandre, Pointwise Regularity Exponents and Market Cross-Correlations (March 31, 2010). INTERNATIONAL REVIEW OF BUSINESS RESEARCH PAPERS, Vol. 6, No. 2, pp. 39-51, Available at SSRN: https://ssrn.com/abstract=1886394

Sergio Bianchi (Contact Author)

University of Cassino ( email )

Via S. Angelo - Campus Folcara
Dept. of Economics and Law
Cassino, 03043
Italy
+3907762994846 (Phone)
+390776393034 (Fax)

HOME PAGE: http://www.docente.unicas.it/sergio_bianchi

Alexandre Pantanella

University of Cassino ( email )

Via S. Angelo, Loc. Folcara
Cassino, Frosinone 03043
Italy