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

doi:10.1016/j.physa.2008.12.038

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

School of Business

New Mexico State University

Research output: Contribution to journal › Article › peer-review

43 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 language	English
Pages (from-to)	1659-1664
Number of pages	6
Journal	Physica A: Statistical Mechanics and its Applications
Volume	388
Issue number	8
DOIs	https://doi.org/10.1016/j.physa.2008.12.038
State	Published - 15 Apr 2009

Keywords

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

Access to Document

10.1016/j.physa.2008.12.038

Cite this

@article{9de832dd7f33490c9cc69cd33e0f0b73,

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

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.",

keywords = "Detrended Fluctuation Analysis, Econophysics, High frequency (tick) data, Hurst analysis, Stock indices",

author = "Mariani, \{M. C.\} and I. Florescu and \{Beccar Varela\}, \{M. P.\} and E. Ncheuguim",

year = "2009",

month = apr,

day = "15",

doi = "10.1016/j.physa.2008.12.038",

language = "English",

volume = "388",

pages = "1659--1664",

number = "8",

}

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 - https://www.scopus.com/pages/publications/59649108521

UR - https://www.scopus.com/pages/publications/59649108521#tab=citedBy

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 -

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

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this