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Piecewise fractional Brownian motion
IEEE Transactions on Signal Processing, 2005Starting from fractional Brownian motion (fBm) of unique parameter H, a piecewise fractional Brownian motion (pfBm) of parameters Hi, Ho and gamma is defined. This new process has two spectral regimes: It behaves like an fBm of parameter Ho for low frequencies and like an fBm of parameter Hi for high frequencies .When Ho = Hi, or for limit cases, pfBm ...
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SIAM Journal on Financial Mathematics, 2017The authors consider a market with an asset price described by fractional Brownian motion, which can be traded with temporary nonlinear price impact. The asymptotically optimal strategies for the maximization of expected terminal wealth are obtained.
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