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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....
Persistent link: https://www.econbiz.de/10011194068
Using high frequency data, this paper examines the long memory property in the unconditional and conditional volatility … unconditional and conditional volatility measures. Results from the non-overlapping moving window approach indicate that the extreme …
Persistent link: https://www.econbiz.de/10010730347
The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381–392] where they incorporate...
Persistent link: https://www.econbiz.de/10010871600
As an aggregate measure of the variations in individuals, the analysis of mobility provides a substantial and comprehensive perspective into the complexity of socio-economic systems. In this paper, we introduced the ranking mobility index to measure the ranking variations of the stocks in...
Persistent link: https://www.econbiz.de/10010873017
The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock...
Persistent link: https://www.econbiz.de/10010874017
This paper examines the long memory property in the conditional variance of the G7’s major stock market indices, using …
Persistent link: https://www.econbiz.de/10011058943
Geometric method-based procedures, which will be called GM algorithms herein, were introduced in [M.A. Sánchez Granero, J.E. Trinidad Segovia, J. García Pérez, Some comments on Hurst exponent and the long memory processes on capital markets, Phys. A 387 (2008) 5543-5551], to efficiently...
Persistent link: https://www.econbiz.de/10011060734
investigation of the conditional probability distribution Pq(τ|τ0) and the mean conditional return interval 〈τ|τ0〉 demonstrates the …
Persistent link: https://www.econbiz.de/10011060960
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to...
Persistent link: https://www.econbiz.de/10011061753
By analyzing high frequency data of transactions on the Italian stock index futures, we show that the statistical properties of average volume depend on the size of transactions, defined as the number of contracts transacted in a single operation. In particular, we find that large transactions...
Persistent link: https://www.econbiz.de/10011062118