D’Amico, Guglielmo; Petroni, Filippo - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4867-4876
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More … data. In particular we analyzed high frequency data from the Italian stock market from 1 January 2007 until the end of …