Levy models and long correlations applied to the study of exchange traded funds

DOI10.1080/00207160902763765zbMath1163.91417OpenAlexW2073726944MaRDI QIDQ3636739

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Publication date: 29 June 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160902763765

zbMATH Keywords

Lévy flightexchange traded fundslong memory effects

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Random operators and equations (aspects of stochastic analysis) (60H25)

Related Items (1)

An optimisation approach to constructing an exchange-traded fund

Cites Work

• Unnamed Item
• Introducing false EUR and false EUR exchange rates
• A Black--Scholes option pricing model with transaction costs
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Introduction to Econophysics
• Fractional Brownian Motions, Fractional Noises and Applications
• The Effects of the Asian Crisis of 1997 on Emergent Markets Through a Critical Phenomena Model

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