Let H be the Hurst parameter of the Fractional Brownian Motion. Are there any useful areas in mathematical finance where the fractional brownian motion with H<1/2 is used? From all the articles I see they assume that H>1/2. If there are any uses for H<1/2 could you please point me in their direction?
1 Answer
Recently, some guys have found the volatility is rough path, with $H\approx0.1$. Please see the important paper "Volatility is rough"