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关于分数布朗运动的最优预测

IF 1.5 4区 经济学 Q3 BUSINESS, FINANCE
Quantitative Finance Pub Date : 2024-01-15 DOI:10.1080/14697688.2023.2297730
Xiaohu Wang, Jun Yu, Chen Zhang
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引用次数: 0

摘要

本文研究了基于离散样本和有限样本的分数布朗运动的不同预测公式的性能。现有文献提出了两种公式，用于生成...
本文章由计算机程序翻译，如有差异，请以英文原文为准。
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On the optimal forecast with the fractional Brownian motion
This paper investigates the performance of different forecasting formulas with fractional Brownian motion based on discrete and finite samples. Existing literature presents two formulas for generat...
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来源期刊
Quantitative Finance
Quantitative Finance 社会科学-数学跨学科应用
CiteScore
3.20
自引率
7.70%
发文量
102
审稿时长
4-8 weeks
期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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