On the optimal forecast with the fractional Brownian motion

DOI10.1080/14697688.2023.2297730zbMATH Open1537.91307MaRDI QIDQ6546321FDOQ6546321

Authors: Xiaohu Wang, Jun Yu, Chen Zhang 

Publication date: 29 May 2024

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

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Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22) Financial markets (91G15)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
• Modeling and Forecasting Realized Volatility
• Linear estimation of self-similar processes via Lamperti's transformation
• Volatility is rough
• Pricing under rough volatility
• Correction to Black-Scholes formula due to fractional stochastic volatility
• Optimal portfolio under fast mean-reverting fractional stochastic environment
• Perfect hedging in rough Heston models
• Buy rough, sell smooth
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Cited In (1)

• Probabilistic models and statistics for electronic financial markets in the digital age

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