Profit Profiles in Correlated Markets

Ingve Simonsen and Kim Sneppen

Papers from arXiv.org

Abstract: We consider a financial market where the asset price follows a fractional Brownian motion. We introduce a family of investment strategies, and quantify profit possibilities for both persistent and antipersistant markets.

Date: 2001-04
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Published in Physica A 316, 561 (2002)

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