A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures

DOI10.1016/J.PHYSA.2019.04.085OpenAlexW2932826782MaRDI QIDQ2159689FDOQ2159689

Authors: Yanyan Li 

Publication date: 2 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.085

zbMATH Keywords

Ornstein-Uhlenbeck processhigh-frequency tradingstationary processtechnical indicatormean reverting processerror processBIAS

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Title not available (Why is that?)
• Modeling high-frequency financial data by pure jump processes
• Testing for pure-jump processes for high-frequency data
• On the structure of moving average processes
• An improved moving average technical trading rule
• High-frequency stock linkage and multi-dimensional stationary processes

This page was built for publication: A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2159689)