Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI

Kho Chia Chen; Arifah Bahar; Chee Ming Ting

doi:10.1063/1.4887704

Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI

Kho Chia Chen, Arifah Bahar, Chee Ming Ting

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

1 Citation (Scopus)

Abstract

This paper studies the Ornstein-Uhlenbeck model that incorporates long memory stochastic volatility which is known as fractional Ornstein-Uhlenbeck model. The determination of the existence of long range dependence of the index prices of FTSE Bursa Malaysia KLCI is measured by the Hurst exponent. The empirical distribution of unobserved volatility is estimated using the particle filtering method. The performance between fractional Ornstein -Uhlenbeck and standard Ornstein -Uhlenbeck process had been compared. The mean square errors of the fractional Ornstein-Uhlenbeck model indicated that the model describes index prices better than the standard Ornstein-Uhlenbeck process.

Original language	English
Title of host publication	Proceedings of the 21st National Symposium on Mathematical Sciences
Subtitle of host publication	Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21
Publisher	American Institute of Physics
Pages	869-874
Number of pages	6
ISBN (Print)	9780735412415
DOIs	https://doi.org/10.1063/1.4887704
Publication status	Published - 2014
Externally published	Yes
Event	National Symposium on Mathematical Sciences 2013 - Penang, Malaysia Duration: 6 Nov 2013 → 8 Nov 2013 Conference number: 21st

Publication series

Name	AIP Conference Proceedings
Volume	1605
ISSN (Print)	0094-243X
ISSN (Electronic)	1551-7616

Conference

Conference	National Symposium on Mathematical Sciences 2013
Abbreviated title	SKSM 2013
Country/Territory	Malaysia
City	Penang
Period	6/11/13 → 8/11/13

Keywords

Financial mathematics
Hurst Exponent.
Long Memory Stochastic Volatility
Particle Filter

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10.1063/1.4887704

Cite this

Chen, K. C., Bahar, A., & Ting, C. M. (2014). Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI. In Proceedings of the 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21 (pp. 869-874). (AIP Conference Proceedings; Vol. 1605). American Institute of Physics. https://doi.org/10.1063/1.4887704

Chen, Kho Chia ; Bahar, Arifah ; Ting, Chee Ming. / Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI. Proceedings of the 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21. American Institute of Physics, 2014. pp. 869-874 (AIP Conference Proceedings).

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abstract = "This paper studies the Ornstein-Uhlenbeck model that incorporates long memory stochastic volatility which is known as fractional Ornstein-Uhlenbeck model. The determination of the existence of long range dependence of the index prices of FTSE Bursa Malaysia KLCI is measured by the Hurst exponent. The empirical distribution of unobserved volatility is estimated using the particle filtering method. The performance between fractional Ornstein -Uhlenbeck and standard Ornstein -Uhlenbeck process had been compared. The mean square errors of the fractional Ornstein-Uhlenbeck model indicated that the model describes index prices better than the standard Ornstein-Uhlenbeck process.",

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Chen, KC, Bahar, A & Ting, CM 2014, Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI. in Proceedings of the 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21. AIP Conference Proceedings, vol. 1605, American Institute of Physics, pp. 869-874, National Symposium on Mathematical Sciences 2013, Penang, Malaysia, 6/11/13. https://doi.org/10.1063/1.4887704

Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI. / Chen, Kho Chia; Bahar, Arifah; Ting, Chee Ming.
Proceedings of the 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21. American Institute of Physics, 2014. p. 869-874 (AIP Conference Proceedings; Vol. 1605).

Research output: Chapter in Book/Report/Conference proceeding › Conference Paper › Research › peer-review

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AB - This paper studies the Ornstein-Uhlenbeck model that incorporates long memory stochastic volatility which is known as fractional Ornstein-Uhlenbeck model. The determination of the existence of long range dependence of the index prices of FTSE Bursa Malaysia KLCI is measured by the Hurst exponent. The empirical distribution of unobserved volatility is estimated using the particle filtering method. The performance between fractional Ornstein -Uhlenbeck and standard Ornstein -Uhlenbeck process had been compared. The mean square errors of the fractional Ornstein-Uhlenbeck model indicated that the model describes index prices better than the standard Ornstein-Uhlenbeck process.

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KW - Hurst Exponent.

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KW - Particle Filter

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Chen KC, Bahar A, Ting CM. Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI. In Proceedings of the 21st National Symposium on Mathematical Sciences: Germination of Mathematical Sciences Education and Research Towards Global Sustainability, SKSM 21. American Institute of Physics. 2014. p. 869-874. (AIP Conference Proceedings). doi: 10.1063/1.4887704

Fractional ornstein-uhlenbeck for index prices of FTSE bursa Malaysia KLCI

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