Profit profiles in correlated markets

We consider a financial market where the asset price follows a fractional Brownian motion. A family of investment strategies are introduced, and we quantify profit possibilities for both persistent and anti-persistent markets. It is demonstrated that profit opportunities exists as long as the Hurst exponent H differs from , and that the profit increases with . Furthermore, one systematically finds that the profit profile is not symmetric about . Larger profits can be generated in persistent markets than in anti-persistent markets that corresponds to the same .