TY - JOUR
T1 - Long correlations and fractional difference analysis applied to the study of memory effects in high-frequency (tick) data
AU - Varela, Maria Pia Beccar
AU - Biney, Francis
AU - Florescu, Ionut
N1 - Publisher Copyright:
© 2015 Taylor & Francis.
PY - 2015/8/3
Y1 - 2015/8/3
N2 - This work is devoted to the study of long correlations, memory effects and other statistical properties of a sample of high-frequency (tick) data. The high-frequency data sample consists of high-frequency (minute) data for several stocks over a seven-day period which we know is relevant for market crush behaviour in the US market; 10–18 March 2008. The Hurst exponent estimation, the detrended fluctuation analysis and the fractional difference parameter are the tools used for this analysis. It also investigates the underlying volatility processes in high-frequency (tick) data using range of GARCH specifications. The GARCH variants considered include the basic GARCH, IGARCH, ARFIMA (0, (Formula presented.) ,0)-GARCH and FIGARCH models. In all the applications, the methodology provides insight into features of these series volatility.
AB - This work is devoted to the study of long correlations, memory effects and other statistical properties of a sample of high-frequency (tick) data. The high-frequency data sample consists of high-frequency (minute) data for several stocks over a seven-day period which we know is relevant for market crush behaviour in the US market; 10–18 March 2008. The Hurst exponent estimation, the detrended fluctuation analysis and the fractional difference parameter are the tools used for this analysis. It also investigates the underlying volatility processes in high-frequency (tick) data using range of GARCH specifications. The GARCH variants considered include the basic GARCH, IGARCH, ARFIMA (0, (Formula presented.) ,0)-GARCH and FIGARCH models. In all the applications, the methodology provides insight into features of these series volatility.
KW - Detrended fluctuation analysis
KW - Econophysics
KW - Fractional difference parameter
KW - High-frequency (tick) data
KW - Hurst analysis
UR - http://www.scopus.com/inward/record.url?scp=84936891879&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84936891879&partnerID=8YFLogxK
U2 - 10.1080/14697688.2015.1032547
DO - 10.1080/14697688.2015.1032547
M3 - Article
AN - SCOPUS:84936891879
SN - 1469-7688
VL - 15
SP - 1365
EP - 1374
JO - Quantitative Finance
JF - Quantitative Finance
IS - 8
ER -