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Forecasting currency rates with fractional brownian motion [OS Quant]Fractional Brownian motion is defined as a stochastic Gaussian process XtXt that starts at zero X0=0X0=0 has an expectation of zero E[Xt]=0E[Xt]=0 and has the following covariance1: E[XtXs]=212(t2H+s2Hts2H)(1) E[XtXs]=221(t2H+s2Hts2H)(1) where is the volatility parameter and H(0,1)H(0,1) is the Hurst exponent. The