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Trading Fractional Brownian Motion - MaRDI portal

Trading Fractional Brownian Motion (Q4971980)

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scientific article; zbMATH DE number 7135137
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English
Trading Fractional Brownian Motion
scientific article; zbMATH DE number 7135137

    Statements

    title
    Trading Fractional Brownian Motion (English)
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    author
    Paolo Guasoni
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    Zsolt Nika
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    Miklós Rásonyi
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    publication date
    22 November 2019
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    zbMATH Keywords
    fractional Brownian motion
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    transaction costs
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    price impact
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    trading
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    asymptotically optimal strategies
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    expected terminal wealth
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    Gaussian processes with long memory
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    self-similar processes
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    Identifiers

    DOI
    10.1137/17M113592X;
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    Mathematics Subject Classification ID
    91G10
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    91G80
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    60G22
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    zbMATH DE Number
    7135137
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