On stochasticity and turbulence in the federal funds market

DOI10.1080/00207720150210823zbMath1010.93011OpenAlexW2160918818MaRDI QIDQ3153857

Apostolos Serletis, Ioannis Andreadis

Publication date: 4 May 2003

Full work available at URL: https://doi.org/10.1080/00207720150210823

zbMATH Keywords

fractional Brownian motionpower spectrumcoloured noisestock exchange dynamics

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (1)

Probability density of the complex-valued fractional Brownian motion of order \(n\) via the maximum entropy principle in \(\mathbb R_{+}^{1/n}\)

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