Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data

M.C. Mariani, I. Florescu, M.P. Beccar Varela and E. Ncheuguim

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 8, 1659-1664

Abstract: This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose.

Keywords: High frequency (tick) data; Stock indices; Econophysics; Hurst analysis; Detrended Fluctuation Analysis (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:8:p:1659-1664

DOI: 10.1016/j.physa.2008.12.038

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