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Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Rescaled range analysis detrended fluctuation analysis Hurst exponent
2010/12/6
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have bee...
Optimal investment on finite horizon with random discrete order flow in illiquid markets
liquidity modelling discrete order flow optimal investment inhomogenous Poisson process dynamic programming
2010/11/1
We study the problem of optimal portfolio selection in an illiquid market with discrete order flow. In this market, bids and offers are not available at any time but trading occurs more frequently nea...