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A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices.

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Bibliographic Details
Title: A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices.
Authors: Leung, Tim1 (AUTHOR) timleung@uw.edu, Zhao, Theodore1 (AUTHOR)
Source: Mathematics (2227-7390). Mar2024, Vol. 12 Issue 6, p864. 21p.
Database: Academic Search Ultimate
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Description
ISSN:22277390
DOI:10.3390/math12060864