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  • Search: person:"Ozelim, Luan C. S. M."
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ACD models 1 Analysis 1 Mathematical analysis 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time series analysis 1 Zeitreihenanalyse 1 fractional Brownian motion 1 generalized Langevin equation 1 stochastic differential equations 1
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CC license 1 Free 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Carvalho, Arthur Rodrigues Pereira de 1 Fonseca, Tiago A. da 1 Ozelim, Luan C. S. M. 1 Quintino, Felipe 1 Rathie, Pushpa N. 1 Saulo, Helton 1
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FinTech 1
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ECONIS (ZBW) 1
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Multiscale stochastic models for bitcoin : fractional brownian motion and duration-based approaches
Carvalho, Arthur Rodrigues Pereira de; Quintino, Felipe; … - In: FinTech 4 (2025) 3, pp. 1-24
This study introduces and evaluates stochastic models to describe Bitcoin price dynamics at different time scales, using daily data from January 2019 to December 2024 and intraday data from 20 January 2025. In the daily analysis, models based on are introduced to capture long memory, paired with...
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