Anagnostidis, Panagiotis; Emmanouilides, Christos J. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 473-487
This study investigates empirically the presence of nonlinearities in the Athens Composite Share Price Index high-frequency returns. A preliminary analysis indicates that volatility exhibits a periodic intraday inverse J-shaped pattern, associated with the opening and closing of the market....