Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data

DOI10.1080/14697688.2015.1032547zbMath1407.62381OpenAlexW1604376820MaRDI QIDQ4619501

Ionut Florescu, Francis Biney, Maria P. Beccar-Varela

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1032547

zbMATH Keywords

detrended fluctuation analysiseconophysicsHurst analysisfractional difference parameterhigh-frequency (tick) data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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