Correlations and multi-affinity in high frequency financial datasets

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.

MoreLess

Year of publication:	2001
Authors:	Baviera, Roberto ; Pasquini, Michele ; Serva, Maurizio ; Vergni, Davide ; Vulpiani, Angelo
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 300.2001, 3, p. 551-557
Publisher:	Elsevier
Subject:	Structure function \| Correlation \| Foreign exchange market

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010873578