| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 974716 | Physica A: Statistical Mechanics and its Applications | 2009 | 6 Pages |
Abstract
This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose.We verify that the behavior of the return is compatible with that of continuous time Levy processes. We also study the presence of memory effects and long-range correlations in the values of the return.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
M.C. Mariani, I. Florescu, M.P. Beccar Varela, E. Ncheuguim,