Waiting-times and returns in high-frequency financial data: An empirical study

Physica A: Statistical Mechanics and its Applications

Volumn 314, Issue 1-4, 2002, Pages 749-755

  Raberto, Marco ^a   Scalas, Enrico ^b   Mainardi, Francesco ^c  

^a UNIVERSITY OF GENOA   (Italy)

^b UNIVERSITY OF EASTERN PIEDMONT   (Italy)

^c UNIVERSITY OF BOLOGNA   (Italy)

Author keywords

Autocorrelation function; Continuous time random walk; Econophysics; Statistical finance; Stochastic processes

Indexed keywords

CORRELATION METHODS; FUNCTIONS; PROBABILITY; RANDOM PROCESSES;

STATISTICAL FINANCE;

FINANCIAL DATA PROCESSING;

EID: 0036949980     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01048-8     Document Type: Conference Paper

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