Fractals in trade duration: Capturing long-range dependence and heavy tailedness in modeling trade duration

Annals of Finance

Volumn 4, Issue 2, 2008, Pages 217-241

  Sun, Wei ^a   Rachev, Svetlozar ^a,b   Fabozzi, Frank J ^c,d   Kalev, Petko S ^e  

^a UNIVERSITY OF KARLSRUHE   (Germany)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c YALE SCHOOL OF MANAGEMENT   (United States)

^d YALE UNIVERSITY   (United States)

^e MONASH UNIVERSITY   (Australia)

Author keywords

Fractal processes; Point processes; Self Similarity; Stable distribution; Trade duration

Indexed keywords

EID: 38349059260     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-007-0078-y     Document Type: Article

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