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Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in high-frequency financial time-series

In: Practical Fruits of Econophysics

Author

Listed:
  • Marzena Kozłowska

    (Warsaw University)

  • Ryszard Kutner

    (Warsaw University)

  • Filip Świtała

    (Warsaw University)

Abstract

Summary By using regular time-steps we define discrete-time random walks and flights on subordinate (directed) Continuous-Time Hierarchical (or Weierstrass) Walks and Flights, respectively. The obtained results can be considered as a kind of warning that indicates some persistent non-linear long-term autocorrelations (artifacts) accompanying the recording of empirical high-frequency financial time-series by regular time-steps, indeed.

Suggested Citation

  • Marzena Kozłowska & Ryszard Kutner & Filip Świtała, 2006. "Discretized Continuous-Time Hierarchical Walks and Flights as possible bases of the non-linear long-term autocorrelations observed in high-frequency financial time-series," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 142-146, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_25
    DOI: 10.1007/4-431-28915-1_25
    as

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