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

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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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  Data: <searchLink fieldCode="AR" term="%22Leung%2C+Tim%22">Leung, Tim</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> timleung@uw.edu</i><br /><searchLink fieldCode="AR" term="%22Zhao%2C+Theodore%22">Zhao, Theodore</searchLink><relatesTo>1</relatesTo> (AUTHOR)
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  Data: <searchLink fieldCode="JN" term="%22Mathematics+%282227-7390%29%22">Mathematics (2227-7390)</searchLink>. Mar2024, Vol. 12 Issue 6, p864. 21p.
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        Value: 10.3390/math12060864
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        Text: English
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              Text: Mar2024
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