LONG MEMORY IN STOCK TRADING
نویسندگان
چکیده
منابع مشابه
Long Memory in Stock Trading
Using a relationship between the moments of the probability distribution of times between the two consecutive trades (intertrade time distribution) and the moments of the distribution of a daily number of trades, we show that the underlying point process is essentially nonMarkovian. A detailed analysis of all trades in the EESR stock on the Moscow International Currency Exchange in the period J...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2004
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024904002682