Zsolt Nika

Peter Pazmany Catholic University

Szentkirályi utca 28

Budapest

Hungary

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Trading Fractional Brownian Motion

Number of pages: 21 Posted: 22 Jun 2017 Last Revised: 22 May 2019
Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Peter Pazmany Catholic University and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
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Abstract:

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fractional Brownian motion, transaction costs, price impact, trading