Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in high-frequency financial time-series

Marzena Kozłowska, Ryszard Kutner and Filip Świtała
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Marzena Kozłowska: Warsaw University
Ryszard Kutner: Warsaw University
Filip Świtała: Warsaw University

A chapter in Practical Fruits of Econophysics, 2006, pp 142-146 from Springer

Abstract: Summary By using regular time-steps we define discrete-time random walks and flights on subordinate (directed) Continuous-Time Hierarchical (or Weierstrass) Walks and Flights, respectively. The obtained results can be considered as a kind of warning that indicates some persistent non-linear long-term autocorrelations (artifacts) accompanying the recording of empirical high-frequency financial time-series by regular time-steps, indeed.

Keywords: Non-linear long-term autocorrelations; High-frequency financial time-series; Continuous-Time Hierarchical (or Weierstrass) Walks and Flights (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_25

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DOI: 10.1007/4-431-28915-1_25

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