✦ LIBER ✦
Remarks on the possible universal mechanism of the non-linear long-term autocorrelations in financial time-series
✍ Scribed by Ryszard Kutner; Filip Świtała
- Publisher
- Elsevier Science
- Year
- 2004
- Tongue
- English
- Weight
- 262 KB
- Volume
- 344
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
✦ Synopsis
The paper consists of two parts: (i) the empirical one where the non-linear, long-term autocorrelations present in high-frequency data extracting from the Warsaw Stock Exchange were analyzed and (ii) theoretical one where predictions of our model (Quantitative Finance 3