IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0406225.html
   My bibliography  Save this paper

Properties of low variability periods in financial time series

Author

Listed:
  • R. Kitt
  • J. Kalda

Abstract

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 analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.

Suggested Citation

  • R. Kitt & J. Kalda, 2004. "Properties of low variability periods in financial time series," Papers cond-mat/0406225, arXiv.org, revised Jun 2004.
    • Handle: RePEc:arx:papers:cond-mat/0406225
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0406225
    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:cond-mat/0406225. 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.