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

This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose.

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Year of publication:	2009
Authors:	Mariani, M.C. ; Florescu, I. ; Beccar Varela, M.P. ; Ncheuguim, E.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 8, p. 1659-1664
Publisher:	Elsevier
Subject:	High frequency (tick) data \| Stock indices \| Econophysics \| Hurst analysis \| Detrended Fluctuation Analysis

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010588912