Statistical analysis of high frequency data from the Athens stock exchange

DOI10.1016/S0378-4371(01)00116-9MaRDI QIDQ5935195zbMATH OpenOpenAlexFDO

Authors Terence C. Mills

Publication date 20 June 2001

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-4371(01)00116-9

zbMATH Keywords

correlationsgeneral main market indexscaling

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• Introduction to Econophysics

Cited in

(8)

• Waiting-times and returns in high-frequency financial data: An empirical study
• Stylized facts of the Indian stock market
• Probabilistic analysis of DAX high frequency data
• Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
• AN EMPIRICAL STUDY ON THE STATISTICAL PROPERTIES OF ROMANIAN EMERGING STOCK MARKET RASDAQ
• PERSISTENCE PROBABILITY IN FINANCIAL DYNAMICS
• Correlations and multi-affinity in high frequency financial datasets
• Realized volatility of index constituent stocks in Hong Kong

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