Evidence of Markov properties of high frequency exchange rate data

Physica A: Statistical Mechanics and its Applications

Volumn 298, Issue 3-4, 2001, Pages 499-520

  Renner, C ^a   Peinke, J ^a   Friedrich, R ^b  

^a UNIVERSITY OF OLDENBURG   (Germany)

^b UNIVERSITY OF STUTTGART   (Germany)

Author keywords

Econophysics; FX data; Markov processes

Indexed keywords

ECONOMICS; MARKOV PROCESSES; PROBABILITY DENSITY FUNCTION;

EXCHANGE RATE DATA;

DATA HANDLING;

EID: 0035884968     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00269-2     Document Type: Article

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