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Physica A: Statistical Mechanics and its Applications

Volumn 344, Issue 1-2, 2004, Pages 244-251

Remarks on the possible universal mechanism of the non-linear long-term autocorrelations in financial time-series

Author keywords

Anomalous diffusion; Long term non linear autocorrelation; Non Gaussian stochastic process; Stochastic hierarchical spatial temporal coupling; Weierstrass and combined Weierstrass walks; Weierstrass or L vy walks with varying velocity

Indexed keywords

CORRELATION METHODS; MATHEMATICAL MODELS; RANDOM PROCESSES; TIME SERIES ANALYSIS;

ANOMALOUS DIFFUSION; FRACTIONAL SPATIAL AND TEMPORAL DYNAMIC EXPONENTS; NON-GAUSSIAN STOCHASTIC PROCESS;

INDUSTRIAL ECONOMICS;

EID: 5444247466 PISSN: 03784371 EISSN: None Source Type: Journal
DOI: 10.1016/j.physa.2004.06.126 Document Type: Conference Paper

Times cited : (4)

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