The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
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The bivariate Gamma Clock model introduced a novel technique of exposing the relative nature of the passage of time in financial markets. Here Lyudmil Zyapkov overlays the construction of a stochastic volatility model based on two correlated Gamma processes with a fractional Brownian motion, the long-term memory of which is conducive to reflecting the market
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