Forecasting with fractional Brownian motion : a financial perspective
Matthieu Garcin
| Year of publication: |
2022
|
|---|---|
| Authors: | Garcin, Matthieu |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 8, p. 1495-1512
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| Subject: | Foreign-exchange rates | Fractional Brownian motion | Hurst exponent | Rough volatility | Systematic trading | Stochastischer Prozess | Stochastic process | Theorie | Theory | Volatilität | Volatility | Prognoseverfahren | Forecasting model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2071758 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367924