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Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data

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  • Mariani, M.C.
  • Florescu, I.
  • Beccar Varela, M.P.
  • Ncheuguim, E.

Abstract

This work is devoted to the study of long correlations, memory effects and other statistical properties of high frequency (tick) data. We use a sample of 25 stocks for this purpose.

Suggested Citation

  • Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2009. "Long correlations and Levy models applied to the study of memory effects in high frequency (tick) data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(8), pages 1659-1664.
  • Handle: RePEc:eee:phsmap:v:388:y:2009:i:8:p:1659-1664
    DOI: 10.1016/j.physa.2008.12.038
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    References listed on IDEAS

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    Cited by:

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    2. Sung Ik Kim, 2022. "ARMA–GARCH model with fractional generalized hyperbolic innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
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    5. Wang, Xiao-Tian, 2010. "Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 789-796.
    6. Wang, Xiao-Tian & Wu, Min & Zhou, Ze-Min & Jing, Wei-Shu, 2012. "Pricing European option with transaction costs under the fractional long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1469-1480.
    7. Mariani, M.C. & Florescu, I. & Beccar Varela, M.P. & Ncheuguim, E., 2010. "Study of memory effects in international market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1653-1664.
    8. Foad Shokrollahi, 2017. "Fractional delta hedging strategy for pricing currency options with transaction costs," Papers 1702.00037, arXiv.org.
    9. Chen, Wenting & Yan, Bowen & Lian, Guanghua & Zhang, Ying, 2016. "Numerically pricing American options under the generalized mixed fractional Brownian motion model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 180-189.
    10. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
    11. Chen, Goong & Mariani, Maria Christina & SenGupta, Indranil & Mai, Nicholas, 2012. "Spectral analysis and generation of certain highly oscillatory curves related to chaos," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1453-1468.
    12. Paulo Ferreira, 2012. "Testing serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece," CEFAGE-UE Working Papers 2012_24, University of Evora, CEFAGE-UE (Portugal).
    13. Wang, Xiao-Tian, 2011. "Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1623-1634.
    14. He, Xinjiang & Chen, Wenting, 2014. "The pricing of credit default swaps under a generalized mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 26-33.
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