IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1408.6255.html
   My bibliography  Save this paper

Intra-day variability of the stock market activity versus stationarity of the financial time series

Author

Listed:
  • T. Gubiec
  • M. Wili'nski

Abstract

We describe the impact of the intra-day activity pattern on the autocorrelation function estimator. We obtain an exact formula relating estimators of the autocorrelation functions of non-stationary process to its stationary counterpart. Hence, we proved that the day seasonality of inter-transaction times extends the memory of as well the process itself as its absolute value. That is, both processes relaxation to zero is longer.

Suggested Citation

  • T. Gubiec & M. Wili'nski, 2014. "Intra-day variability of the stock market activity versus stationarity of the financial time series," Papers 1408.6255, arXiv.org.
    • Handle: RePEc:arx:papers:1408.6255
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1408.6255
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1408.6255. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.