Modelling high-frequency economic time series
نویسندگان
چکیده
منابع مشابه
Modelling High - frequency Economic Time Series
The minute-by-minute move of the Hang Seng Index (HSI) data over a four-year period is analysed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem [S. B. Pope and E. S. C. Ching, Phys. Fluids A 5, 1529 (1993)], we derive an analytic form for the probability distribution function (PDF) of index moves from fitted functional forms of certai...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2000
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(00)00442-8