Title of article
Correlations and multi-affinity in high frequency financial datasets
Author/Authors
Roberto Baviera، نويسنده , , Michele Pasquini، نويسنده , , Maurizio Serva، نويسنده , , Davide Vergni، نويسنده , , Angelo Vulpiani، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2001
Pages
7
From page
551
To page
557
Abstract
In this paper we perform a quantitative check of long term correlations and multi-affinity in Deutsche Mark/US Dollar exchange rates using high frequency data. We show that the use of business time, i.e., the ranking of the quotes in the sequences, eliminates most of the seasonality in financial-time series, allowing a precise estimation of some return anomalies.
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2001
Journal title
Physica A Statistical Mechanics and its Applications
Record number
867406
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