Optimal long-term investment in illiquid markets when prices have negative memory

DOI10.1214/21-ECP387zbMath1480.91280arXiv2005.07080OpenAlexW3159124560MaRDI QIDQ2064830

Miklós Rásonyi, Lóránt Nagy

Publication date: 6 January 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.07080

zbMATH Keywords

fractional Brownian motionprice impactoptimal investmentprocesses with negative memory

Mathematics Subject Classification ID

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

Related Items (1)

Invariant measures for multidimensional fractional stochastic volatility models

Cites Work

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• Arbitrage with Fractional Brownian Motion
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• Trading Fractional Brownian Motion
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

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