Kutner, Ryszard; Świtała, Filip - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 244-251
The paper consists of two parts: (i) the empirical one where the non-linear, long-term autocorrelations present in high-frequency data extracting from the Warsaw Stock Exchange were analyzed and (ii) theoretical one where predictions of our model (Quantitative Finance 3 (2003) 201; Physica A...