Hua, Jia-Chen; Chen, Lijian; Falcon, Liberty; McCauley, … - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 221-233
We analyze intraday fluctuations in several stock indices to investigate the underlying stochastic processes using techniques appropriate for processes with nonstationary increments. The five most actively traded stocks each contains two time intervals during the day where the variance of...