In this work we extend the recently considered toy model of Weierstrass or Lévy walks with varying velocity of the walker (Quantitative Finance 3 (2003) 201; Chem. Phys. 284 (2002) 481; Comp. Phys. Comm. 147 (2002) 565; Phys. A 264 (1999) 84; Phys. A 264 (1999) 107) by introducing a more realistic...

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...