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Intraday volatility and scaling in high frequency foreign exchange markets

Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126

Persistent link: https://www.econbiz.de/10009295805

Dynamics of real financial markets: A reply to Frank’s comment

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 13, pp. 3239-3241

This reply addresses the assertion in the comment of T.D. Frank [T.D. Frank, Physica A 387 (2008) 773] on our paper [K.E. Bassler, G.H. Gunaratne, J.L. McCauley, Physica A 369 (2006) 343] that the approach to modeling financial markets that we propose is unrealistic. In our paper, we considered...

Persistent link: https://www.econbiz.de/10011061331

Empirically based modeling in financial economics and beyond, and spurious stylized facts

Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783

Persistent link: https://www.econbiz.de/10003792190

On the analysis of time series with nonstationary increments

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: Handbook of research on complexity, (pp. 259-284). 2009

Persistent link: https://www.econbiz.de/10003870454