Lattice-oriented percolation system applied to volatility behavior of stock market

DOI10.1080/02664763.2011.620081OpenAlexW2034804347MaRDI QIDQ5126987

Yao Yu, Jun Wang

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2011.620081

zbMATH Keywords

computer simulationlong memorylong-range correlationsstatistical analysisreturnslattice-oriented percolationlink relative price

Mathematics Subject Classification ID

Statistics (62-XX)

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• Long-range power-law correlations in stock returns