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Statistical arbitrage under a fractal price model - MaRDI portal

Statistical arbitrage under a fractal price model

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Publication:6546999

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DOI10.1007/s10479-023-05585-yMaRDI QIDQ6546999

Yun Xiang, Shi-Jie Deng

Publication date: 30 May 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motion Monte Carlo simulation statistical arbitrage Thompson sampling

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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