Miklos Rasonyi

Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics

Realtanoda u 13-15

Budapest

Hungary

SCHOLARLY PAPERS

4

DOWNLOADS

708

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Trading Fractional Brownian Motion

Number of pages: 21 Posted: 22 Jun 2017 Last Revised: 22 May 2019
Paolo Guasoni, Zsolt Nika and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences, Peter Pazmany Catholic University and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 434 (94,734)

Abstract:

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fractional Brownian motion, transaction costs, price impact, trading

2.

High-Frequency Trading with Fractional Brownian Motion

Michael J. Brennan Irish Finance Working Paper Series Research Paper No. 20-5
Number of pages: 27 Posted: 16 Aug 2019 Last Revised: 17 Jul 2020
Paolo Guasoni, Yuliya Mishura and Miklos Rasonyi
Dublin City University - School of Mathematical Sciences, Taras Shevchenko National University of Kyiv and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 207 (172,121)

Abstract:

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fractional Brownian motion, transaction costs, high frequency, trading

3.

Log-Optimal Portfolios with Memory Effect

Number of pages: 23 Posted: 30 Jul 2018 Last Revised: 30 Aug 2018
Zsolt Nika and Miklos Rasonyi
Peter Pazmany Catholic University and Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics
Downloads 34 (519,316)

Abstract:

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Portfolio Theory, Investment Strategy, Online Algorithm, Discrete Gaussian Stochastic Volatility, Growth Optimal

4.

Young, Timid, and Risk Takers

Number of pages: 20 Posted: 18 Feb 2021
Paolo Guasoni, Miklos Rasonyi and Lóránt Nagy
Dublin City University - School of Mathematical Sciences, Hungarian Academy of Sciences (HAS) - Alfréd Rényi Institute of Mathematics and Central European University (CEU)
Downloads 33 (524,468)

Abstract:

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mean-reversion, exponential utility, portfolio choice, long-term safe assets