Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data

M. C. Mariani, I. Florescu, M. P. Beccar Varela, E. Ncheuguim

Research output: Contribution to journalArticlepeer-review

40 Scopus citations

Abstract

This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose. We verify that the behavior of the return is compatible with that of continuous time Levy processes. We also study the presence of memory effects and long-range correlations in the values of the return.

Original languageEnglish
Pages (from-to)1659-1664
Number of pages6
JournalPhysica A: Statistical Mechanics and its Applications
Volume388
Issue number8
DOIs
StatePublished - 15 Apr 2009

Keywords

  • Detrended Fluctuation Analysis
  • Econophysics
  • High frequency (tick) data
  • Hurst analysis
  • Stock indices

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