Long-Range Dependence, Fractal Processes, and Intra-Daily Data

Wei Sun (), Svetlozar Zari Rachev and Frank Fabozzi
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Wei Sun: University of Karlsruhe
Svetlozar Zari Rachev: University of Karlsruhe
Frank Fabozzi: Yale School of Management

Chapter 23 in Handbook on Information Technology in Finance, 2008, pp 543-585 from Springer

Abstract: Abstract With the adoption of electronic trading and order routing systems, an enormous quantity of trading data in electronic form is now available. A complete data set of transactions recorded and their associated characteristics such as transaction time, transaction price, posted bid/ask prices, and volumes are provided. These data are gathered at the ultimate frequency level in the financial markets and usually referred to as intra-daily data or high-frequency data.

Keywords: Fractional Brownian Motion; Trading Cost; Stochastic Volatility Model; Market Microstructure; Fractional Gaussian Noise (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/978-3-540-49487-4_23

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