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Fractional Brownian motion
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Xiang, Yun
Asai, Manabu
6
McAleer, Michael
6
Mišura, Julija S.
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Phillips, Peter C.B.
6
Bassler, Kevin E.
5
Gunaratne, Gemunu H.
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McCauley, Joseph L.
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Rostek, Stefan
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Yu, Jun
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Gorostiza, Luis G.
4
Härdle, Wolfgang
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Reveiz, Alejandro
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Rosenbaum, Mathieu
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Tindel, Samy
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Ayache, Antoine
3
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Applied economics
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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Optimal stop-loss rules in markets with long-range dependence
Xiang, Yun
;
Deng, Shijie
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 253-263
Persistent link: https://www.econbiz.de/10014551974
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2
Pairs trading with fractional Ornstein-Uhlenbeck spread model
Xiang, Yun
;
Zhao, Yonghong
;
Deng, Shijie
- In:
Applied economics
55
(
2023
)
23
,
pp. 2607-2623
Persistent link: https://www.econbiz.de/10014295156
Saved in:
3
An outperforming investment strategy under
fractional
Brownian
motion
Liu, Qiang
;
Xiang, Yun
;
Zhao, Yonghong
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 505-515
Persistent link: https://www.econbiz.de/10012120123
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