Forecasting with fractional Brownian motion : a financial perspective
Year of publication: |
2022
|
---|---|
Authors: | Garcin, Matthieu |
Subject: | Foreign-exchange rates | Fractional Brownian motion | Hurst exponent | Rough volatility | Systematic trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis |
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