Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market (Q372927)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market |
scientific article; zbMATH DE number 6217414
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market |
scientific article; zbMATH DE number 6217414 |
Statements
Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market (English)
0 references
21 October 2013
0 references
In this paper, the method of cluster expansion (see, e.g., [\textit{R. Kotecký} and \textit{D. Preiss}, Commun. Math. Phys. 103, 491--498 (1986; Zbl 0593.05006)]), developed in the study of phase transitions for lattice spin systems, is applied to a model of stock trades conducted by many traders. It is shown that a scale limit of the process converges to superposition of fractional Brownian motions with Hurst index \(H>1/2\) and Brownian motion.
0 references
cluster expansion
0 references
scaling limit
0 references
fractional Brownian motion
0 references
long memory
0 references
0 references
