Detecting market crashes by analysing long-memory effects using high-frequency data

DOI10.1080/14697688.2012.664937MaRDI QIDQ2873035zbMATH OpenOpenAlexFDO

Authors Ernest Barany, M. P. Beccar Varela, Ionut Florescu, Indranil SenGupta

Publication date 17 January 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2012.664937

zbMATH Keywords

data sampled with high frequencydetrended fluctuation analysisHurst parameterlong memory effectsLévy processestruncated Lévy flight

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Statistical methods; risk measures (91G70)

Recommendations

• Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
• scientific article; zbMATH DE number 1902433
• FRACTAL GEOMETRY OF FINANCIAL TIME SERIES
• Did long-memory of liquidity signal the European sovereign debt crisis?
• Characterizing financial crises using high-frequency data

Cites work

• Computing the implied volatility in stochastic volatility models
• Financial Modelling with Jump Processes
• More stylized facts of financial markets: leverage effect and downside correlations
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• The pricing of options and corporate liabilities

Cited in

(9)

• Stochastic differential equations applied to the study of geophysical and financial time series
• Analysis of the Lehman Brothers collapse and the flash crash event by applying wavelets methodologies
• Did long-memory of liquidity signal the European sovereign debt crisis?
• Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
• Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
• scientific article; zbMATH DE number 1902433 (Why is no real title available?)
• Characterizing financial crises using high-frequency data
• Modeling high frequency stock market data by using stochastic models
• Multifractal analysis and multiagent simulation for market crash prediction

This page was built for publication: Detecting market crashes by analysing long-memory effects using high-frequency data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2873035)