{"id":"https://openalex.org/W250046375","doi":null,"title":"Arbitrage with fractional Brownian motion","display_name":"Arbitrage with fractional Brownian motion","publication_year":2007,"publication_date":"2007-01-01","ids":{"openalex":"https://openalex.org/W250046375","mag":"250046375"},"language":"en","primary_location":{"id":"pmh:oai:dspace.nbuv.gov.ua:123456789/4474","doi":null,"is_oa":false,"landing_page_url":"http://dspace.nbuv.gov.ua/handle/123456789/4474","pdf_url":null,"source":{"id":"https://openalex.org/S4306401959","display_name":"The scientific electronic library of periodicals of the National Academy of Sciences of Ukraine (National Academy of Sciences of Ukraine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I149851306","host_organization_name":"National Academy of Sciences of Ukraine","host_organization_lineage":["https://openalex.org/I149851306"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},"volume":null,"type":"article","indexed_in":[],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103188231","display_name":"Christian Bender","orcid":"https://orcid.org/0000-0003-3264-2975","observed_orcids":["https://orcid.org/0000-0003-3264-2975"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Christian Bender","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0003-3264-2975","affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5027613699","display_name":"Tommi Sottinen","orcid":"https://orcid.org/0000-0002-9983-9708","observed_orcids":["https://orcid.org/0000-0002-9983-9708"]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tommi Sottinen","raw_affiliation_strings":[],"raw_orcid":"https://orcid.org/0000-0002-9983-9708","affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5026163069","display_name":"Esko Valkeila","orcid":null,"observed_orcids":[]},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Esko Valkeila","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":6.998,"has_fulltext":false,"cited_by_count":64,"citation_normalized_percentile":{"value":0.964133,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":99},"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10288","display_name":"Fractional Differential Equations Solutions","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/arbitrage","display_name":"arbitrage","score":0.8059999942779541},{"id":"https://openalex.org/keywords/fractional-brownian-motion","display_name":"fractional Brownian motion","score":0.9990000128746033},{"id":"https://openalex.org/keywords/incomplete-markets","display_name":"incomplete markets","score":0.7639999985694885},{"id":"https://openalex.org/keywords/stochastic-calculus","display_name":"stochastic calculus","score":0.328000009059906}],"concepts":[{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.7531173229217529},{"id":"https://openalex.org/C108819105","wikidata":"https://www.wikidata.org/wiki/Q1143293","display_name":"Fractional Brownian motion","level":3,"score":0.7288464903831482},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.6007745265960693},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5468007922172546},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.542695939540863},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.5353417992591858},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.5348562002182007},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5306947231292725},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.4266549348831177},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.41066834330558777},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.39906609058380127},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.3230152726173401},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.30520549416542053},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.2424875795841217},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.15662962198257446},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.10582181811332703},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08996236324310303},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.07487723231315613},{"id":"https://openalex.org/C136264566","wikidata":"https://www.wikidata.org/wiki/Q159810","display_name":"Economy","level":1,"score":0.0719958245754242},{"id":"https://openalex.org/C2780378061","wikidata":"https://www.wikidata.org/wiki/Q25351891","display_name":"Service (business)","level":2,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"pmh:oai:dspace.nbuv.gov.ua:123456789/4474","doi":null,"is_oa":false,"landing_page_url":"http://dspace.nbuv.gov.ua/handle/123456789/4474","pdf_url":null,"source":{"id":"https://openalex.org/S4306401959","display_name":"The scientific electronic library of periodicals of the National Academy of Sciences of Ukraine (National Academy of Sciences of Ukraine)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I149851306","host_organization_name":"National Academy of Sciences of Ukraine","host_organization_lineage":["https://openalex.org/I149851306"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},{"id":"mag:250046375","doi":null,"is_oa":false,"landing_page_url":"http://dspace.nbuv.gov.ua/bitstream/handle/123456789/4474/2007_13_1-2_3.pdf?sequence=1","pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":null}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":22,"referenced_works":["https://openalex.org/W1809232600","https://openalex.org/W1970058257","https://openalex.org/W1978094758","https://openalex.org/W1985170541","https://openalex.org/W1995666097","https://openalex.org/W2005784517","https://openalex.org/W2007642833","https://openalex.org/W2016193062","https://openalex.org/W2025505566","https://openalex.org/W2048712136","https://openalex.org/W2050116139","https://openalex.org/W2050131490","https://openalex.org/W2052558712","https://openalex.org/W2055261816","https://openalex.org/W2076458153","https://openalex.org/W2077310260","https://openalex.org/W2103254903","https://openalex.org/W2150281008","https://openalex.org/W2164573936","https://openalex.org/W2180071254","https://openalex.org/W2299050396","https://openalex.org/W2617914715"],"related_works":["https://openalex.org/W7095655062","https://openalex.org/W1995666097","https://openalex.org/W147860112","https://openalex.org/W1978488233","https://openalex.org/W4252962534","https://openalex.org/W1895122692","https://openalex.org/W7010139962","https://openalex.org/W2565616486","https://openalex.org/W2077310260","https://openalex.org/W2351161574"],"abstract_inverted_index":{"In":[0,30],"recent":[1],"years":[2],"fractional":[3],"Brownian":[4,13],"motion":[5,14],"has":[6],"been":[7,51],"suggested":[8],"to":[9,56,62],"replace":[10],"the":[11,19,37,63,66],"classical":[12],"as":[15],"driving":[16],"process":[17],"in":[18,46],"modelling":[20],"of":[21,41,65,69],"many":[22],"real":[23],"world":[24],"phenomena,":[25],"including":[26],"stock":[27,48],"price":[28],"modelling.":[29],"several":[31],"papers":[32],"seemingly":[33],"contradictory":[34],"results":[35],"on":[36],"existence":[38],"or":[39],"absence":[40],"a":[42],"riskless":[43],"gain":[44],"(arbitrage)":[45],"such":[47],"models":[49],"have":[50],"\\nstated.":[52],"This":[53],"survey":[54],"tries":[55],"clarify":[57],"this":[58],"issue":[59],"by":[60],"pointing":[61],"importance":[64],"chosen":[67],"class":[68],"admissible":[70],"trading":[71],"strategies.":[72]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":6},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":6},{"year":2012,"cited_by_count":7}],"updated_date":"2026-11-03T10:50:19.383937","created_date":"2016-06-24T00:00:00"}