Ensemble properties of high-frequency data and intraday trading rules
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Publication:4683008
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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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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