Yuliya Mishura

Taras Shevchenko National University of Kyiv

вул. Володимирська, 60

Kyiv, 01601

Ukraine

  • Taras Shevchenko National University of Kyiv

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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
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Abstract:

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fractional Brownian motion, transaction costs, high frequency, trading