Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
| Year of publication: |
2008
|
|---|---|
| Authors: | Sun, Wei ; Rachev, Svetlozar ; Fabozzi, Frank ; Kalev, Petko |
| Published in: |
Annals of Finance. - Springer. - Vol. 4.2008, 2, p. 217-241
|
| Publisher: |
Springer |
| Subject: | Fractal processes | Point processes | Self-Similarity | Stable distribution | Trade duration |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005673948