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 generating optimal forecasts when continuous records are available. One formula relies on a history over an in...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2751 https://ink.library.smu.edu.sg/context/soe_research/article/3750/viewcontent/OptimalForecastingBrownianMotion_2023_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |