Scaling and correlation in financial time series

By P. Gopikrishnan, V. Plerou, Yanhui Liu, L. A. Amaral, Xavier Gabaix, H. Eugene Stanley. 2000

144 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/ee9d75646f3b61be316940c1bddba3ba06f52d70

Citations in the corpus

• Waiting-times and returns in high-frequency financial data: an empirical study (2002, unknown): “…the joint probability density of jumps ξn = x(tn+1)−x(tn) and of waiting times τn = tn+1−tn. Relevant quantities are the two (marginal) probability density functions (pdf ’s) defined as λ(ξ) := ∫ ∞ 0 ϕ(ξ, τ) dτ , ψ(τ) := ∫ +∞ −∞ ϕ(ξ, τ) dξ , and called jump pdf and waiting-time pdf, respectively.”