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Fractional Brownian Motion

   Also found in: Acronyms, Wikipedia 0.01 sec.
Fractional Brownian Motion
A biased random walk. Unlike Standard Brownian Motion, the odds are biased in one direction or the other. It is like playing with loaded dice.

Fractional Brownian Motion
A random walk with some bias. That is, fractional Brownian motion means that a security's price moves seemingly randomly, but with some external event sending it in one direction or the other.


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The section on developments in stochastic dynamics discusses fractional Brownian motion in finance, moment evolution of Gaussian and geometric Wiener diffusions, two-dimensional linear dynamic systems with small random terms, and a dynamic theory of stochastic movement of systems.
Phenomena include fractals, cellular automata, L-systems, iterated function, fractional Brownian motion, and artificial life and closes with descriptions of new natural materials used in computing.
For his dissertation, "Evidence of the MultiFractal Market Hypothesis Using Wavelet Transforms," he developed and tested a multifractal model in which equity and bond markets are comprised of subintervals of fractional Brownian motion (FBM) processes.
 
 
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