Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift.
Jörn SassDorothee WestphalRalf WunderlichPublished in: J. Appl. Probab. (2021)
Keyphrases
- expert opinions
- financial markets
- diffusion approximations
- heavy traffic
- arrival rate
- stock market
- stock price
- data streams
- concept drift
- queueing networks
- financial reports
- black scholes
- technical indicators
- risk management
- fractional brownian motion
- option pricing
- asymptotically optimal
- trading systems
- steady state
- financial institutions
- portfolio theory
- trading strategies
- exchange rate
- long run
- queue length
- special case