On the optimal forecast with the fractional Brownian motion

DOI10.1080/14697688.2023.2297730MaRDI QIDQ6546321zbMATH OpenFDO

Authors Xiaohu Wang, Jun Yu, Chen Zhang

Publication date 29 May 2024

Published in Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(1)

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

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