City Research Online

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 stock market. Investors and analysts monitor the index to gauge investor sentiment, economic trends, and potential investment opportunities in Greek companies. We find that the Hurst exponent falls outside the range typically associated with fractal Brownian motion. This, combined with the established non-normality of increments, disfavors both geometric Brownian motion and fractal Brownian motion models for the ATG index.

Publication Type:	Article
Additional Information:	© 2024 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https://creativecommons.org/licenses/by/4.0/).
Publisher Keywords:	geometric Brownian motion; fractional Brownian motion; Athens Stock Exchange
Subjects:	H Social Sciences > HG Finance Q Science > QA Mathematics Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Departments:	School of Science & Technology School of Science & Technology > Engineering
SWORD Depositor:	Symplectic Administrator

Export

Downloads