Intra-day variability of the stock market activity versus stationarity of the financial time series
We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions of non-stationary process to its stationary counterpart. Hence, we proved that the day seasonality of inter-transaction times extends the memory of as well the process itself as its absolute value. That is, both processes relaxation to zero is longer.
Year of publication: |
2014-08
|
---|---|
Authors: | Gubiec, T. ; M. Wili\'nski |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Sienkiewicz, A., (2013)
-
Nucleation, condensation and lambda-transition on a real-life stock market
Wilinski, M., (2013)
-
Structural and topological phase transitions on the German Stock Exchange
M. Wili\'nski, (2013)
- More ...