Stock price process and long memory in trade signs

DOI10.1007/978-4-431-53883-7_4zbMath1217.91222OpenAlexW142620739MaRDI QIDQ3000043

Koji Kuroda, Joshin Murai, Jun-ichi Maskawa

Publication date: 18 May 2011

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-4-431-53883-7_4

zbMATH Keywords

fractional Brownian motionlong memoryHurst indexpolymer expansiontrade signs

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80) Lattice systems (Ising, dimer, Potts, etc.) and systems on graphs arising in equilibrium statistical mechanics (82B20) Functional limit theorems; invariance principles (60F17)

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