Muchnik, Lev; Bunde, Armin; Havlin, Shlomo - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 19, pp. 4145-4150
long-term memory. These subsequences consist of maxima (or minima) of returns in consecutive time windows of R days. Our … this long-term memory which is similar to that observed in volatility clustering sheds further insight on price dynamics …