This short note describes some statistical tests and experiments for serial correlations of historical stock prices. More precisely, some parameters calculated via empirical characteristics functions are compared with the same parameters for time series with known degree of correlation

The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some finite time horizon defined by the rate of decay....

We consider estimation of the historical volatility of stock prices. It is assumed that the stock prices are represented as time series formed as samples of the solution of a stochastic differential equation with random and time varying parameters; these parameters are not observable directly...