The roughness exponent and its model-free estimation

Xiyue Han and Alexander Schied

Papers from arXiv.org

Abstract: Motivated by pathwise stochastic calculus, we say that a continuous real-valued function $x$ admits the roughness exponent $R$ if the $p^{\text{th}}$ variation of $x$ converges to zero if $p>1/R$ and to infinity if $p

Date: 2021-11, Revised 2024-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2111.10301 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2111.10301

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().