Study of Statistical Correlations in Intraday and Daily Financial Return Time Series

DOI10.1007/978-88-470-2553-0_6zbMath1397.62437arXiv1204.5103OpenAlexW2163406281MaRDI QIDQ4687373

Rémy Chicheportiche, Gayatri Tilak, Tamás Széll, Anirban Chakraborti

Publication date: 11 October 2018

Published in: Econophysics of Systemic Risk and Network Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.5103

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Intraday Trading Patterns on the Warsaw Stock Exchange ⋮ Macroeconomic and Financial Networks: Review of Some Recent Developments in Parametric and Non-parametric Approaches

Cites Work

• On covariance estimation of non-synchronously observed diffusion processes
• Modern multidimensional scaling. Theory and applications.
• Asset Trees and Asset Graphs in Financial Markets

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