A method to get a more stationary process and its application in finance with high-frequency data of Chinese index futures

DOI10.1016/J.PHYSA.2019.04.085OpenAlexW2932826782MaRDI QIDQ2159689

Yanyan Li

Publication date: 2 August 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.085

zbMATH Keywords

Ornstein-Uhlenbeck processstationary processhigh-frequency tradingtechnical indicatormean reverting processerror processBIAS

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Modeling high-frequency financial data by pure jump processes
• On the structure of moving average processes
• An improved moving average technical trading rule
• High-frequency stock linkage and multi-dimensional stationary processes
• Testing for pure-jump processes for high-frequency data
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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