Optimal stop-loss rules in markets with long-range dependence
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Publication:6546316
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Cites work
- A General Fractional White Noise Theory And Applications To Finance
- Arbitrage in fractional Brownian motion models
- Arbitrage with Fractional Brownian Motion
- Brownian Motion
- Conditional distributions of processes related to fractional Brownian motion
- Empirical properties of asset returns: stylized facts and statistical issues
- Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
- Forecasting with fractional Brownian motion: a financial perspective
- Fractional Brownian Motions, Fractional Noises and Applications
- High-frequency trading with fractional Brownian motion
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Long-Term Memory in Stock Market Prices
- On the efficacy of stop-loss rules in the presence of overnight gaps
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Perpetual American options with fractional Brownian motion
- Prediction law of fractional Brownian motion
- Probability with Martingales
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Trading Securities Using Trailing Stops
- Trading to stops
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