Antipersistent Markov behavior in foreign exchange markets

DOI10.1016/S0378-4371(02)00968-8zbMath0997.91016WikidataQ60479572 ScholiaQ60479572MaRDI QIDQ1611126

Michele Pasquini, Roberto Baviera, Davide Vergni, Angelo Vulpiani, Maurizio Serva

Publication date: 21 August 2002

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

log-price fluctuationsquantitative efficiency checkstatistical forecast

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Multi-scaling in the Cont-Bouchaud microscopic stock market model ⋮ A continuous time Bayesian network classifier for intraday FX prediction

Cites Work

• Unnamed Item
• A Mathematical Theory of Communication

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