An empirical investigation of Australian Stock Exchange data
AbstractWe present an empirical study of high frequency Australian equity data examining the behaviour of distribution tails and the existence of long memory. A method is presented allowing us to deal with Australian Stock Exchange data by splitting it into two separate data series representing an intraday and overnight component. Power-law exponents for the empirical density functions are estimated and compared with results from other studies. Using the autocorrelation and variance plots we find there to be a strong indication of long-memory type behaviour in the absolute return, volume and transaction frequency.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 341 (2004)
Issue (Month): C ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Econophysics; Power law tails; Long memory process;
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