Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
Year of publication: |
2008
|
---|---|
Authors: | Sun, Wei ; Rachev, Svetlozar ; Fabozzi, Frank ; Kalev, Petko |
Published in: |
Annals of Finance. - Springer. - Vol. 4.2008, 2, p. 217-241
|
Publisher: |
Springer |
Subject: | Fractal processes | Point processes | Self-Similarity | Stable distribution | Trade duration |
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