Forecasting with fractional Brownian motion: a financial perspective

DOI10.1080/14697688.2022.2071758zbMath1497.91289arXiv2105.09140OpenAlexW3161499526MaRDI QIDQ5092662

Matthieu Garcin

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2105.09140

zbMATH Keywords

fractional Brownian motionHurst exponentrough volatilitysystematic tradingforeign-exchange rates

Mathematics Subject Classification ID

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

Related Items (4)

A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework ⋮ Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise ⋮ Multi-valued perturbations on stochastic evolution equations driven by fractional Brownian motions ⋮ A statistical test of market efficiency based on information theory

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