The nature of price returns during periods of high market activity

Khalil Al Dayri, Emmanuel Bacry () and J.-F. Muzy ()
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Khalil Al Dayri: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Emmanuel Bacry: CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
J.-F. Muzy: SPE - Laboratoire « Sciences pour l’Environnement » (UMR CNRS 6134 SPE) - CNRS - Centre National de la Recherche Scientifique - Università di Corsica Pasquale Paoli [Université de Corse Pascal Paoli]

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Date: 2010-07-12
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Published in Econophys-Kolkata V, Jul 2010, Calcuta, India. pp.155, ⟨10.1007/978-88-470-1766-6⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00604504

DOI: 10.1007/978-88-470-1766-6

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