Ensemble properties of high-frequency data and intraday trading rules

DOI10.1080/14697688.2013.867454zbMath1398.62278arXiv1202.2447OpenAlexW3121405036MaRDI QIDQ4683008

Michele Caraglio, F. Camana, Fulvio Baldovin, Massimiliano Caporin, Attilio L. Stella

Publication date: 19 September 2018

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

Full work available at URL: https://arxiv.org/abs/1202.2447

zbMATH Keywords

memoryanomalous scalingintraday returnsintraday strategy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

Detecting intraday financial market states using temporal clustering ⋮ Option pricing with non-Gaussian scaling and infinite-state switching volatility

Cites Work

• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Generalized autoregressive conditional heteroscedasticity
• Volatility in financial markets: Stochastic models and empirical results
• Theory of Financial Risk and Derivative Pricing
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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