Chan, Ngai Hang; Ng, Chi Tim - In: Quantitative Finance 9 (2009) 5, pp. 519-525
Recent research suggests that fractional Brownian motion can be used to model the long-range dependence structure of the stock market. Fractional Brownian motion is not a semi-martingale and arbitrage opportunities do exist, however. Hu and Øksendal [Infin. Dimens. Anal., Quant. Probab. Relat....
