Properties of low variability periods in financial time series

R. Kitt and J. Kalda

Papers from arXiv.org

Abstract: Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.

Date: 2004-06, Revised 2004-06
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Published in Physica A, 345, 2005, 622

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/0406225

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