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.2019.04.085MaRDI QIDQ2159689zbMATH OpenOpenAlexFDO

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

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• An improved moving average technical trading rule
• High-frequency stock linkage and multi-dimensional stationary processes
• Modeling high-frequency financial data by pure jump processes
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• On the structure of moving average processes
• Testing for pure-jump processes for high-frequency data

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