Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data

Physica A: Statistical Mechanics and its Applications

Volumn 388, Issue 8, 2009, Pages 1659-1664

  Mariani, M C ^a   Florescu, I ^b   Beccar Varela, M P ^a   Ncheuguim, E ^a  

^a NEW MEXICO STATE UNIVERSITY   (United States)

^b Stevens Institute of Technology   (United States)

Author keywords

Detrended Fluctuation Analysis; Econophysics; High frequency (tick) data; Hurst analysis; Stock indices

Indexed keywords

PHYSICS;

DETRENDED FLUCTUATION ANALYSIS; ECONOPHYSICSS; HIGH FREQUENCY HF; HURST ANALYSIS; STOCK INDICES;

CONTINUOUS TIME SYSTEMS;

EID: 59649108521     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.12.038     Document Type: Article

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