Properties of low-variability periods in financial time series
نویسندگان
چکیده
منابع مشابه
un 2 00 4 Properties of low variability periods in financial time series
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling a...
متن کامل1 7 Ju n 20 04 Properties of low variability periods in financial time series
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time series than the traditional multi-affine analysis. We have applied this scaling a...
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Some Simple Properties of High, Low, Open, Close: Simulating Financial Time Series and Tracking Volatility
Observations on security prices, currency exchange rates, interest rates,and other nancial time series usually include not only an open and close, but also a high and low price for the period. The information on high and low prices of considerable value, particularly for estimating volatility, and essential in the pricing of look-back and barrier options. For pricing more general derivatives, t...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2005
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(04)01007-6