Properties of low-variability periods in financial time series
โ Scribed by Robert Kitt; Jaan Kalda
- Publisher
- Elsevier Science
- Year
- 2005
- Tongue
- English
- Weight
- 384 KB
- Volume
- 345
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
A classic problem in physics is the origin of fat-tailed distributions generated by complex systems. We study the distributions of stock returns measured over di erent time lags . We รฟnd that destroying all correlations without changing the = 1 d distribution, by shu ing the order of the daily retur
This exploratory paper reports a pilot study of the impact of random period duration on the trading behaviour observed in experimental ยฎnancial markets. Results reported in earlier experimental studies, many of which report a ยฏurry of trade just prior to the end of a trading period, may have been in
A wavelet method is applied to the detection of the hidden periodicities of a hidden periodic model in time series. By checking the empirical wavelet coefficients of the periodogram, which have significantly large absolute values across fine scale levels, the number of the hidden periodicities in th