Trading Fractional Brownian Motion.
Paolo GuasoniZsolt NikaMiklós RásonyiPublished in: SIAM J. Financial Math. (2019)
Keyphrases
- fractional brownian motion
- financial markets
- long range
- non stationary
- stock market
- long range dependence
- stock price
- trading systems
- fractal dimension
- stochastic differential equations
- random fields
- risk management
- markov random field
- hidden markov models
- image segmentation
- intrusion detection
- exchange rate
- computer systems
- text classification
- management system