High-frequency trading with fractional Brownian motion
type: Item
instance of: scholarly article
title: High-frequency trading with fractional Brownian motion
zbMATH Open document ID: 1461.91300
author: Paolo Guasoni
author: Miklós Rásonyi
author: Yuliya S. Mishura
published in: Finance and Stochastics
publication date: 2021-04-29T00:00:00Z
Mathematics Subject Classification ID: 91G15
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 7341438
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: transaction costs
zbMATH Keywords: high frequency
zbMATH Keywords: trading
zbMATH Keywords: mean-variance optimisation
MaRDI profile type: Publication
full work available at URL: s00780-020-00439-y
OpenAlex ID: W3124506492
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DOI: 10.1007/S00780-020-00439-Y
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description: scientific article; zbMATH DE number 7341438