Cross-correlation and the predictability of financial return series
β Scribed by Wen-Qi Duan; H. Eugene Stanley
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 606 KB
- Volume
- 390
- Category
- Article
- ISSN
- 0378-4371
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We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as possibly altering the tail behavior. On small return intervals, the tick-size can distort the calculation of correlations. Th
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