Profit profiles in correlated markets

Ingve Simonsen and Kim Sneppen

Physica A: Statistical Mechanics and its Applications, 2002, vol. 316, issue 1, 561-567

Abstract: We consider a financial market where the asset price follows a fractional Brownian motion. A family of investment strategies are introduced, and we quantify profit possibilities for both persistent and anti-persistent markets. It is demonstrated that profit opportunities exists as long as the Hurst exponent H differs from 12, and that the profit increases with |H−12|. Furthermore, one systematically finds that the profit profile is not symmetric about H=12. Larger profits can be generated in persistent markets than in anti-persistent markets that corresponds to the same |H−12|.

Keywords: Econophysics; Self-affine correlations; Non-equilibrium (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:316:y:2002:i:1:p:561-567

DOI: 10.1016/S0378-4371(02)01024-5

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