Whitening filter and innovational representation of fractional Brownian motion

Xiao-Tian Wang and Min Wu

Chaos, Solitons & Fractals, 2009, vol. 39, issue 5, 2392-2398

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.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:39:y:2009:i:5:p:2392-2398

DOI: 10.1016/j.chaos.2007.07.092

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