Paitoon Wongsasutthikul

Cornell University - School of Applied Economics and Management

248 Warren Hall

Ithaca, NY 14853

United States

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Scholarly Papers (1)

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Itô’s Excursion Theory, the Hurst Coefficient, and Fractional Excursions in Finance

Number of pages: 29 Posted: 04 Apr 2012
Paitoon Wongsasutthikul and Calum G. Turvey
Cornell University - School of Applied Economics and Management and Cornell University - School of Applied Economics and Management
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Abstract:

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Ito Excursion, Hurst Coefficient, Fractional Brownian Motion, Quantitative Finance