Ponta, Linda; Scalas, Enrico; Raberto, Marco; Cincotti, … - arXiv.org - 2012
We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We find that non-stationarities detected in other markets in the past are still there. Moreover, scaling properties reported in the previous literature for other high-frequency...