Correlations and multi-affinity in high frequency financial datasets

Physica A: Statistical Mechanics and its Applications

Volumn 300, Issue 3-4, 2001, Pages 551-557

  Baviera, Roberto ^a   Pasquini, Michele ^b   Serva, Maurizio ^b   Vergni, Davide ^c   Vulpiani, Angelo ^c  

^a HEC PARIS   (France)

^b UNIVERSITY OF L'AQUILA   (Italy)

^c SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Correlation; Foreign exchange market; Structure function

Indexed keywords

CORRELATION METHODS; DATA STRUCTURES; INTERNATIONAL TRADE; TIME SERIES ANALYSIS;

DATASETS;

FINANCE;

EID: 0035889671     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00363-6     Document Type: Article

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