Trading Fractional Brownian Motion
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Publication:4971980
DOI10.1137/17M113592X;zbMath1429.91290MaRDI QIDQ4971980
Paolo Guasoni, Miklós Rásonyi, Zsolt Nika
Publication date: 22 November 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/17M113592X
fractional Brownian motionself-similar processestransaction coststradingprice impactasymptotically optimal strategiesexpected terminal wealthGaussian processes with long memory
Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Portfolio theory (91G10)
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