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An empirical investigation of Australian Stock Exchange data

  • Bertram, William K
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    We 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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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437104005485
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 341 (2004)
    Issue (Month): C ()
    Pages: 533-546

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    Handle: RePEc:eee:phsmap:v:341:y:2004:i:c:p:533-546
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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