Modelling high-frequency economic time series

Physica A: Statistical Mechanics and its Applications

Volumn 288, Issue 1-4, 2000, Pages 444-450

  Tang, Lei Han ^a   Huang, Zhi Feng ^a,b  

^a HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^b TSINGHUA UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL MODELS; PROBABILITY DENSITY FUNCTION; TIME SERIES ANALYSIS;

ECONOMIC TIME SERIES; LANGEVIN MODELING;

INDUSTRIAL ECONOMICS;

EID: 0034507485     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(00)00442-8     Document Type: Article

References (18)

1. See, e.g., the electronic archive at http://netec.mcc.ac.uk and http://www.unifr.ch / econophysics .
2. R.N. Mantegna, H.E. Stanley, Nature 376 (1995) 46.
3. R. Mantegna, H.E. Stanley, An Introduction to Econophysics, Cambridge University Press, Cambridge, 2000.
4. J.-P. Bouchaud, M. Potters, Theory of Financial Risk, Cambridge University Press, Cambridge, 2000.
5. Engle R.F. Econometrica. 50:1982;987.
6. R.F. Engle, ARCH - Selected Readings, R.F. Engle (Ed.), Oxford Univ. Press, New York, 1995.
7. Bollerslev T. J. Econometrics. 31:1986;307.
8. Mandelbrot B.B. J. Business Univ. Chicago. 36:1963;394.
9. Mandelbrot B.B. The Fractal Geometry of Nature. 1982;W.H. Freeman and Co, New York.
10. B.B. Mandelbrot, Physica A 263 (1999) 477, and references therein.
11. Ghashghaie S., Breymann W., Peinke J., Talkner P., Dodge Y. Nature. 381:1996;767.
12. See also A. Arneodo, J.-P. Bouchaud, R. Cont, J.-F. Muzy, M. Potters, D. Sornette, cond-mat / 9607120.
13. Mantegna R.N., Stanley H.E. Physica A. 239:1997;255.
14. Mantegna R.N., Stanley H.E. Nature. 383:1996;587.
15. Castaing B., Gunaratne G., Heslot F., Kadanoff L., Libchaber A., Thomas S., Wu X.Z., Zaleski S., Zanetti G. J. Fluid Mech. 204:1989;1.
16. Pope S.B., Ching E.S.C. Phys. Fluids. A 5:1993;1529.
17. Ching E.S.C. Phys. Rev. E 53:1996;5899.
18. Stolovitzky G., Ching E.S.C. Phys. Lett. A 255:1999;11.