| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481863 | Physica A: Statistical Mechanics and its Applications | 2012 | 6 Pages |
Abstract
⺠Study of financial returns series of different assets using the Allan deviation. ⺠Results at short scales are consistent with those for uncorrelated series. ⺠Results for absolute returns deviate from scaling particularly for large time scales. ⺠Analysis reveals that the assets have different fluctuation signatures along time. ⺠These signatures are significant in the long-range dependence of absolute returns.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
R. Hernández-Pérez,