Financial Markets as a Complex System : a Short Time Scale Perspective

In this paper we want to discuss macroscopic and microscopicproperties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special emphasize on temporal correlations.(...)

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Year of publication:	2001-11-09
Authors:	Marschinski, Robert ; Matassini, Lorenzo
Publisher:	DB Research GmbH <Frankfurt, Main>
Subject:	Kapitalmarktforschung \| capital market research \| Multivariate Analyse \| Kapitalmarkttheorie \| Empirische Forschung \| empirical research \| Korrelationsanalyse \| Kursprognose

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Extent:	1024 bytes 51 p. application/pdf
Series:	Deutsche Bank Research - Publikationen
Type of publication:	Book / Working Paper
Language:	English
Classification:	C00 - Mathematical and Quantitative Methods. General ; C19 - Econometric and Statistical Methods: General. Other ; C53 - Forecasting and Other Model Applications ; Financial theory ; Securities Markets ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005843734