TY - JOUR
T1 - Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data
AU - Mariani, M. C.
AU - Florescu, I.
AU - Beccar Varela, M. P.
AU - Ncheuguim, E.
PY - 2009/4/15
Y1 - 2009/4/15
N2 - 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.
AB - 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.
KW - Detrended Fluctuation Analysis
KW - Econophysics
KW - High frequency (tick) data
KW - Hurst analysis
KW - Stock indices
UR - http://www.scopus.com/inward/record.url?scp=59649108521&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=59649108521&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2008.12.038
DO - 10.1016/j.physa.2008.12.038
M3 - Article
AN - SCOPUS:59649108521
SN - 0378-4371
VL - 388
SP - 1659
EP - 1664
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 8
ER -