scholarly journals Research on Systemic Risk of the Turkish Banking Industry Based on a Systemic Risk Measurement Framework of the Fractional Brownian Motion

2021 ◽  
Vol 2021 ◽  
pp. 1-13
Author(s):  
Hong Fan ◽  
Lingli Feng ◽  
Ruoyu Zhou
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Financial Market ◽  
Systemic Risk ◽  
Banking System ◽  
Risk Measurement ◽  
Geometric Brownian Motion ◽  
Hurst Index ◽  
Measurement Framework ◽  
Asset Value

Since the 2008 financial crisis, it is an important issue to assess the systemic risk of banks, but there is a lack of research on the assessment of the systemic risk of Turkey’s financial system. In addition, geometric Brownian motion is used in most of the assessment frameworks of systemic risk under the normal financial market state, while the Turkish financial market has the situation of spike and thick tail. Therefore, this paper proposes a fractional Brownian motion measurement framework of systemic risk to study the systemic risk of the Turkish financial system. Firstly, this paper uses the data of 11 Turkish listed banks from 2014 to 2019 to conduct a normality test and demonstrate that its market has the characteristics of a fractal market; that is, there is a spike and thick tail distribution phenomenon in the stock price trend. Then, this paper proposes a fractional Brownian motion systemic risk measurement framework (fBSM). Based on the proposed theoretical framework and the actual data of Turkish listed banks from 2014 to 2019, a dynamically evolving Turkish banking network system is constructed to measure the systemic risk in the Turkish banking system. The research results find that the systemic risk is the highest in 2017, which then improved and gradually recovered. In addition, when analyzing the sensitivity of the Hurst index, it shows that with the increase in Hurst index, the Hurst index elasticity of Turkish banks’ asset value increases gradually and the asset value also increases continuously. Hence, the Hurst index has a greater impact on asset value. Therefore, the measurement framework of systemic risk based on the fBSM can better monitor the systemic risk than the traditional geometric Brownian motion in the Turkish banking system.

scholarly journals Solving Black-Schole Equation Using Standard Fractional Brownian Motion

2019 ◽  
Vol 11 (2) ◽  
pp. 142
Author(s):  
Didier Alain Njamen Njomen ◽  
Eric Djeutcha
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Financial Market ◽  
Implied Volatility ◽  
Classical Model ◽  
Hurst Index ◽  
European Option ◽  
Black Scholes Model ◽  
Black Scholes ◽  
The Cost

In this paper, we emphasize the Black-Scholes equation using standard fractional Brownian motion BHwith the hurst index H ∈ [0,1]. N. Ciprian (Necula, C. (2002)) and Bright and Angela (Bright, O., Angela, I., & Chukwunezu (2014)) get the same formula for the evaluation of a Call and Put of a fractional European with the different approaches. We propose a formula by adapting the non-fractional Black-Scholes model using a λHfactor to evaluate the european option. The price of the option at time t ∈]0,T[ depends on λH(T − t), and the cost of the action St, but not only from t − T as in the classical model. At the end, we propose the formula giving the implied volatility of sensitivities of the option and indicators of the financial market.

scholarly journals A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm

2014 ◽  
Vol 51 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Dawei Hong ◽  
Shushuang Man ◽  
Jean-Camille Birget ◽  
Desmond S. Lun
Keyword(s):  
Brownian Motion ◽  
Convergence Rate ◽  
Fractional Brownian Motion ◽  
Parallel Algorithm ◽  
Uniform Approximation ◽  
Haar Wavelets ◽  
Hurst Index ◽  
Sample Paths ◽  
Vanishing Moment ◽  
Uniform Expansion

We construct a wavelet-based almost-sure uniform approximation of fractional Brownian motion (FBM) (Bt(H))_t∈[0,1] of Hurst index H ∈ (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM for H ∈ (0, 1) can be established. The convergence rate of our approximation is derived. We also describe a parallel algorithm that generates sample paths of an FBM efficiently.

scholarly journals Second-order limit laws for occupation times of fractional Brownian motion

2017 ◽  
Vol 54 (2) ◽  
pp. 444-461 ◽  
Author(s):  
Fangjun Xu
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Method Of Moments ◽  
Second Order ◽  
Hurst Index ◽  
Occupation Times ◽  
Limit Laws ◽  
Additive Functionals ◽  
Finite Dimensional ◽  
Functional Version

Abstract We prove a second-order limit law for additive functionals of a d-dimensional fractional Brownian motion with Hurst index H = 1 / d, using the method of moments and extending the Kallianpur–Robbins law, and then give a functional version of this result. That is, we generalize it to the convergence of the finite-dimensional distributions for corresponding stochastic processes.

scholarly journals Large Time Behavior on the Linear Self-Interacting Diffusion Driven by Sub-Fractional Brownian Motion With Hurst Index Large Than 0.5 I: Self-Repelling Case

2022 ◽  
Vol 9 ◽  
Author(s):  
Han Gao ◽  
Rui Guo ◽  
Yang Jin ◽  
Litan Yan
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Large Time ◽  
Large Time Behavior ◽  
Time Behavior ◽  
Hurst Index ◽  
Interacting Diffusion ◽  
Two Parameters

Let SH be a sub-fractional Brownian motion with index 12<H<1. In this paper, we consider the linear self-interacting diffusion driven by SH, which is the solution to the equationdXtH=dStH−θ(∫0tXtH−XsHds)dt+νdt,X0H=0,where θ &lt; 0 and ν∈R are two parameters. Such process XH is called self-repelling and it is an analogue of the linear self-attracting diffusion [Cranston and Le Jan, Math. Ann. 303 (1995), 87–93]. Our main aim is to study the large time behaviors. We show the solution XH diverges to infinity, as t tends to infinity, and obtain the speed at which the process XH diverges to infinity as t tends to infinity.

scholarly journals Solving Arbitrage Problem on the Financial Market Under the Mixed Fractional Brownian Motion With Hurst Parameter H ∈]1/2,3/4[

2019 ◽  
Vol 11 (1) ◽  
pp. 76
Author(s):  
Eric Djeutcha ◽  
Didier Alain Njamen Njomen ◽  
Louis-Aimé Fono
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Financial Market ◽  
Existence And Uniqueness ◽  
Hurst Parameter ◽  
Existence And Uniqueness Theorem ◽  
Martingale Approximation ◽  
Arbitrage Opportunities ◽  
Mixed Fractional Brownian Motion ◽  
Geometric Fractional Brownian Motion

This study deals with the arbitrage problem on the financial market when the underlying asset follows a mixed fractional Brownian motion. We prove the existence and uniqueness theorem for the mixed geometric fractional Brownian motion equation. The semi-martingale approximation approach to mixed fractional Brownian motion is used to eliminate the arbitrage opportunities.

scholarly journals Optimal Sequential Change Detection for Fractional Diffusion-Type Processes

2013 ◽  
Vol 50 (1) ◽  
pp. 29-41
Author(s):  
Alexandra Chronopoulou ◽  
Georgios Fellouris
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Abrupt Change ◽  
Fractional Diffusion ◽  
Hurst Index ◽  
Continuous Path ◽  
Cusum Test ◽  
Random Drift ◽  
Diffusion Type ◽  
Drift Term

The problem of detecting an abrupt change in the distribution of an arbitrary, sequentially observed, continuous-path stochastic process is considered and the optimality of the CUSUM test is established with respect to a modified version of Lorden's criterion. We apply this result to the case that a random drift emerges in a fractional Brownian motion and we show that the CUSUM test optimizes Lorden's original criterion when a fractional Brownian motion with Hurst index H adopts a polynomial drift term with exponent H+1/2.

Sign in / Sign up

Export Citation Format

Share Document