The relationship between return fractality and bipower variation

DOI10.3233/AF-140037zbMATH Open1396.91701MaRDI QIDQ4586437FDOQ4586437

Authors: Thomas A. Rhee 

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

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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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