Detecting market crashes by analysing long-memory effects using high-frequency data (Q2873035)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Detecting market crashes by analysing long-memory effects using high-frequency data |
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Detecting market crashes by analysing long-memory effects using high-frequency data (English)
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17 January 2014
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long memory effects
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data sampled with high frequency
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Lévy processes
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Hurst parameter
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detrended fluctuation analysis
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truncated Lévy flight
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