Profit Profiles in Correlated Markets
classification
❄️ cond-mat.stat-mech
q-fin.PM
keywords
marketsprofitantipersistantassetbrownianconsidercorrelatedfamily
read the original 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.
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