Profit profiles in correlated markets

DOI10.1016/S0378-4371(02)01024-5MaRDI QIDQ1847475zbMATH OpenOpenAlexFDO

Authors I. Simonsen, K. Sneppen

Publication date 26 November 2002

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0104305

zbMATH Keywords

financial marketfractional Brownian motionHurst exponent

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Abstract: We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and antipersistant markets.

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Cites work

• scientific article; zbMATH DE number 192842 (Why is no real title available?)
• Introduction to Econophysics
• Measuring anti-correlations in the nordic electricity spot market by wavelets

Cited in

(1)

• Measuring anti-correlations in the nordic electricity spot market by wavelets

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