High-frequency trading with fractional Brownian motion

DOI10.1007/s00780-020-00439-yzbMath1461.91300OpenAlexW3124506492MaRDI QIDQ2022763

Paolo Guasoni, Miklós Rásonyi, Yuliya S. Mishura

Publication date: 29 April 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-020-00439-y

zbMATH Keywords

fractional Brownian motiontransaction coststradinghigh frequencymean-variance optimisation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Financial markets (91G15)

Related Items (3)

Forecasting with fractional Brownian motion: a financial perspective ⋮ Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework ⋮ A statistical test of market efficiency based on information theory

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• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

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