A carregar...
Scaling and memory in volatility return intervals in financial markets
For both stock and currency markets, we study the return intervals τ between the daily volatilities of the price changes that are above a certain threshold q. We find that the distribution function P(q)(τ) scales with the mean return interval [Formula: see text] as [Formula: see text]. The scaling f...
Na minha lista:
| Main Authors: | , , , , |
|---|---|
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
National Academy of Sciences
2005
|
| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC1166612/ https://ncbi.nlm.nih.gov/pubmed/15980152 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.0502613102 |
| Tags: |
Adicionar Tag
Sem tags, seja o primeiro a adicionar uma tag!
|