| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480686 | Physica A: Statistical Mechanics and its Applications | 2012 | 9 Pages |
Abstract
⺠Empirical evidence for non-stationary increments in financial time series is provided. ⺠An ensemble average approach to assess financial time series is proposed. ⺠Based on empirical analysis, we define an intraday volatility model. ⺠Using model data, we compare time and ensemble averaging techniques. ⺠The ensemble average approach identifies the underlying model dynamics correctly.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Lars Seemann, Jia-Chen Hua, Joseph L. McCauley, Gemunu H. Gunaratne,