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Weighted-indexed semi-Markov models for modeling financial returns
rst passage time distribution autocorrelation function exponentially weighted moving average Monte Carlo
2012/6/4
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are de...
Impact of the tick-size on financial returns and correlations
Financial correlations Epps e ect Market emergence Covariance estimation
2010/10/18
We demonstrate that the lowest possible price change (tick-size) has a large impact on the structure of financial return distributions. It induces a microstructure as well as it can alter the tail beh...
Recurrence interval analysis of high-frequency financial returns and its application to risk estimation
Recurrence interval analysis of high-frequency financial risk estimation
2010/11/2
We investigate the probability distributions of the recurrence intervals between consecutive 1-min returns above a positive threshold q > 0 or below a negative threshold
q < 0 of two indices and 20...
The components of empirical multifractality in financial returns
components empirical multifractality financial returns
2010/11/2
We perform a systematic investigation on the components of the empirical multi-
fractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 ...