Self-similarity in financial markets: a fractionally integrated approach

DOI10.1016/j.mcm.2010.03.031zbMath1201.91224OpenAlexW1984740721MaRDI QIDQ611788

Chin Wen Cheong

Publication date: 14 December 2010

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.03.031

zbMATH Keywords

self-similarityfinancial time serieslong memory processeconophysicsfractionally integrated model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Self-similar stochastic processes (60G18)

Related Items (1)

A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction

Uses Software

• longmemo

Cites Work

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