The relationship between return fractality and bipower variation

DOI10.3233/AF-140037MaRDI QIDQ4586437zbMATH OpenFDO

Authors Thomas A. Rhee

Publication date 13 September 2018

Published in Algorithmic Finance (Search for Journal in Brave)

zbMATH Keywords

fractal dimensionbipower variationdiscontinuous jumpshigh frequency algorithmic/quantitative tradingmodified Wiener processreturn fractality

Mathematics Subject Classification ID

Portfolio theory (91G10) Measurable and nonmeasurable functions, sequences of measurable functions, modes of convergence (28A20)

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Cited in

(1)

• scientific article; zbMATH DE number 5000898 (Why is no real title available?)

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